Refining After-Tax Return and Risk Parameters

The Journal of Wealth Management, Forthcoming

Posted: 7 Aug 2020

Date Written: August 2020


Taxes introduce certain complexities, requiring proper adjustments to return and risk parameters. The author offers a refined set of after-tax return and risk equations for use in practice and validates them with a stochastic future value cash flow model. The refined after-tax return and risk parameters can be used in portfolio optimization, Monte Carlo simulation, and deterministic present/future value portfolio modeling with internally consistent results. The refinements improve the discovery of the optimal after-tax portfolio and enhance long-term wealth planning in the presence of risk.

Keywords: portfolio theory, taxes

JEL Classification: G11

Suggested Citation

Mladina, Peter, Refining After-Tax Return and Risk Parameters (August 2020). The Journal of Wealth Management, Forthcoming, Available at SSRN:

Peter Mladina (Contact Author)

Northern Trust ( email )

2049 Century Park East
Suite 3600
Los Angeles, CA 90067
United States

UCLA ( email )

405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095
United States

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