3 papers
math.OC2025
A Tax-Efficient Model Predictive Control Policy for Retirement Funding
Kasper Johansson, Stephen Boyd
The retirement funding problem addresses the question of how to manage a retiree's savings to provide her with a constant post-tax inflation adjusted consumption throughout her lif…
econ.EM2024
A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages
Kasper Johansson, Thomas Schmelzer, Stephen Boyd
We consider the problem of managing a portfolio of moving-band statistical arbitrages (MBSAs), inspired by the Markowitz optimization framework. We show how to manage a dynamic bas…
econ.EM2024
Simple and Effective Portfolio Construction with Crypto Assets
Kasper Johansson, Stephen Boyd
We consider the problem of constructing a portfolio that combines traditional financial assets with crypto assets. We show that despite the documented attributes of crypto assets,…