Capital gains tax significantly affects investors' optimal investment policies. Inflation varies stochastically and can become elevated for a long period of time. However, the impact of inflation on tax timing and consumption is largely ignored in the existing literature. We develop an optimal...

In this report, we discuss our recent analysis of incorporating higher moments in factor models. We have used a simplified data set and assumptions to conduct an initial feasibility study in this area. Our expectation is that this initial work, if sufficiently promising, can be extended with...