Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2004 erstellt
Description:
Academic literature and popular advice in general agree on the fact that investors who have access to both a taxable and a tax-deferred account should follow a quot;pecking orderquot; location rule of preferring highly taxed assets in a tax-deferred account. There is however little guidance regarding how investors should adjust their overall portfolio allocation for the presence of tax-deferred accounts, especially when they face such frictions as borrowing and short-selling constraints. In this paper we first derive conditions under which the pecking-order location rule holds and then show that, for investors who follow this rule and face portfolio constraints, the optimal allocation in the two-account problem can be obtained by solving for the allocation in each account separately while treating the portfolio holdings in the other account as a quot;non-tradablequot; asset. After deriving this result for the case of a riskless bond and a risky stock, we generalize the optimal two-account allocation rules to the case of multiple assets