Frei Christoph, Welsh Liam
Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, AB T6G 2G1, Canada.
Department of Statistical Sciences, University of Toronto, Toronto, ON M5G 1Z5, Canada;
J Risk Financ Manag. 2022 May 4;15(5):209. doi: 10.3390/jrfm15050209. eCollection 2022 May.
In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the sensitivity of the optimal investment strategy with respect to changes in the expected asset returns. By applying this approximation formula, we are able to quantitatively estimate how much investor portfolios may change depending on the investment horizon if the tax loophole is closed.
在美国，交易所交易基金可以利用法律漏洞来递延投资者的资本利得税。为了量化这种税收漏洞对投资者投资组合的影响，我们研究了一种基于秩的预期效用模型。我们推导了一个关于最优投资策略对预期资产回报变化敏感度的近似公式。通过应用这个近似公式，我们能够定量估计如果税收漏洞被堵住，投资者投资组合可能会根据投资期限发生多大变化。
