Post tax optimal investments

Investment strategies need to take into account the impact of taxes on returns and expected income of different investments. To assist this, banks introduce 'wrappers' to group set of assets with the objective to get special taxation, making investments more attractive. The present research utilises LP and MIP models to perform post tax portfolio optimisation that takes in account life situations, the underlying portfolio and special UK taxation rules for three different wrappers. Computational results show that in most cases, optimal investments should be diversified over assets and wrappers and withdrawals must make use of the original investment to ensure superior return levels.