Annals of Operations Research

, Volume 157, Issue 1, pp 3–23

A general framework for multistage mean-variance post-tax optimization


DOI: 10.1007/s10479-007-0255-4

Cite this article as:
Osorio, M.A., Gülpınar, N. & Rustem, B. Ann Oper Res (2008) 157: 3. doi:10.1007/s10479-007-0255-4


An investor’s decisions affect the way taxes are paid in a general portfolio investment, modifying the net redemption value and the yearly optimal portfolio distribution. We investigate the role of these decisions on multistage mean-variance portfolio allocation model. A number of risky assets grouped in wrappers with special taxation rules is integrated in a multistage financial portfolio optimization problem. The uncertainty on the returns of assets is specified as a scenario tree generated by simulation/clustering based approach. We show the impact of decisions in the yearly reallocation of the investments for three typical cases with an annual fixed withdrawal in a fixed horizon that utilizes completely the option of taper relief offered by banks in UK. Our computational framework can be used as a tool for testing decisions in this context.


Post-tax optimization Mean-variance portfolio management Multistage stochastic mixed-integer quadratic programming Scenario tree 

Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • Maria A. Osorio
    • 1
    • 3
  • Nalan Gülpınar
    • 2
    • 4
  • Berç Rustem
    • 2
  1. 1.Chemical Engineering DepartmentUniversidad Autonoma de PueblaSan Manuel PueblaMexico
  2. 2.Department of ComputingImperial College LondonLondonUK
  3. 3.School of Computer SciencesUniversidad Autonoma de PueblaPueblaMexico
  4. 4.Warwick Business SchoolThe University of WarwickCoventryUK

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