Applied Research

A Case Study on the Tax-Aware Features in Axioma Portfolio

We will explore the tax functionality of the Axioma Optimizer through the use of a fictional case study. The case study will discuss how loss harvesting or tax liability can be included in the objective function, as well as how gross and net tax constraints can be used when constructing a portfolio. We will also discuss how tax-sensitive optimizations can be backtested using the Axioma backtester or automated using the Axioma API.

Author: Walid Bandar, Director, Product Specialist

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