英文标题：
《Foundations for Wash Sales》
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作者：
Phillip G. Bradford
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最新提交年份：
2016
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英文摘要：
Consider an ephemeral sale-and-repurchase of a security resulting in the same position before the sale and after the repurchase. A sale-and-repurchase is a wash sale if these transactions result in a loss within $\\pm 30$ calendar days. Since a portfolio is essentially the same after a wash sale, any tax advantage from such a loss is not allowed. That is, after a wash sale a portfolio is unchanged so any loss captured by the wash sale is deemed to be solely for tax advantage and not investment purposes. This paper starts by exploring variations of the birthday problem to model wash sales. The birthday problem is: Determine the number of independent and identically distributed random variables required so there is a probability of at least 1/2 that two or more of these random variables share the same outcome. This paper gives necessary conditions for wash sales based on variations on the birthday problem. This allows us to answer questions such as: What is the likelihood of a wash sale in an unmanaged portfolio where purchases and sales are independent, uniform, and random? This paper ends by exploring the Littlewood-Offord problem as it relates capital gains and losses with wash sales.
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中文摘要：
考虑短期出售和回购证券，导致出售前和回购后的头寸相同。如果这些交易在$\\pm 30$日历日内造成损失，则出售和回购即为洗牌出售。由于一个投资组合在出售后本质上是相同的，因此不允许从这种损失中获得任何税收优惠。也就是说，在清仓出售后，投资组合保持不变，因此清仓出售捕获的任何损失被视为仅用于税收优惠，而非投资目的。本文首先探讨生日问题的变化，以模拟洗衣机销售。生日问题是：确定所需的独立且相同分布的随机变量的数量，这样两个或多个随机变量共享相同结果的概率至少为1/2。本文根据生日问题的变化，给出了洗衣机销售的必要条件。这让我们能够回答这样的问题：在购买和销售是独立、统一和随机的非管理投资组合中，进行清洗销售的可能性有多大？本文最后探讨了Littlewood-Offord问题，因为它将资本收益和损失与销售挂钩。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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