Cross-Border Tax-Aware Portfolio Allocation

This thesis develops an integrated quantitative framework for after-tax portfolio allocation under cross-border taxation. It combines asset allocation, ownership-route selection, legal-risk adjustment, lifecycle wealth analysis, and tax-aware implementation within a single simulation-and-optimization setting. The analysis is conducted from the perspective of an Italian-resident investor allocating to U.S. assets through alternative structures, including direct holding, Swiss intermediation, and Luxembourg-U.S. holding-company routes. To capture the tax significance of income character, the framework models three stylized asset sleeves: high-dividend equities, bonds, and high-capital-gain equities. The methodology extends tax-aware portfolio analysis by incorporating source-country withholding taxes, vehicle-level taxation, capital-gains taxation, basis tracking, loss carryforwards, and route-dependent legal fragility. Annual after-tax wealth is simulated under stochastic returns, benchmark-aware portfolio construction is imposed through practical constraints and transaction costs, and robustness is evaluated under alternative assumptions for capital-market parameters, tax wedges, and treaty-denial states. The framework is then extended to lifecycle analysis and to a monthly lot-level implementation layer with explicit tax lots, least-tax-first-out sale ordering, transaction costs, and a wash-sale lockout approximation. The thesis provides a quantitative bridge between international tax structuring and portfolio theory. It shows that cross-border portfolio design cannot be understood through pre-tax returns or statutory rates alone. Optimal after-tax allocation depends jointly on return composition, legal routing, treaty access, implementation frictions, and the dynamic management of taxable gains and losses. Tax efficiency therefore emerges not as an external adjustment, but as an endogenous dimension of portfolio choice.