5 citations · 5 across the 2 of their papers we have counts for
3 papers
Optimal Claiming of Social Security Benefits
Steven Diamond, Stephen Boyd, David Greenberg +2
Using a lifecycle framework with Epstein-Zin (1989) utility and a mixed-integer optimization approach, we compute the optimal age to claim Social Security benefits. Taking advantag…
Portfolio Performance Attribution via Shapley Value
Nicholas Moehle, Stephen Boyd, Andrew Ang
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each…
Tax-Aware Portfolio Construction via Convex Optimization
Nicholas Moehle, Mykel J. Kochenderfer, Stephen Boyd +1
We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade li…