High-order Markov-switching portfolio selection with capital gain tax

作者：

Highlights：

• Capital gain–loss offsetting considering loss carry-over effect is studied.

• The high-order Markov-switching mechanism of market states is proposed.

• The stochastic high-order Markov-switching mean–variance model is constructed.

• A Monte Carlo simulation-based particle swarm optimization algorithm is designed.

摘要

•Capital gain–loss offsetting considering loss carry-over effect is studied.•The high-order Markov-switching mechanism of market states is proposed.•The stochastic high-order Markov-switching mean–variance model is constructed.•A Monte Carlo simulation-based particle swarm optimization algorithm is designed.

论文关键词：High-order Markov matrix,Capital gain tax,Gain–loss offsetting,Monte Carlo simulation,Particle swarm optimization

论文评审过程：Received 26 March 2020, Revised 26 June 2020, Accepted 21 August 2020, Available online 26 August 2020, Version of Record 28 August 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113915