ATReturn.calc: Calculate after-tax expected returns

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

An after-tax expected arithmetic return is calculated for each asset class assuming it were held in each of the three account types: taxable, deferred and exempt. Arithmetic returns are more appropriate inputs into a mean variance optimizer than geometric.

Usage

ATReturn.calc(cma, investor)

Arguments

cma	Capital market assumption object
investor	Investor object

Value

A list with three numeric vectors: at.return.taxable contains the after-tax expected returns for a taxable account, at.return.deferred for a deferred account, and at.return.exempt for an exempt account.

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.