Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

@article{Cai2013NumericalSO,
  title={Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs},
  author={Y. Cai and K. Judd and Rong Xu},
  journal={Econometrics: Mathematical Methods \& Programming eJournal},
  year={2013}
}
  • Y. Cai, K. Judd, Rong Xu
  • Published 2013
  • Computer Science, Economics
  • Econometrics: Mathematical Methods & Programming eJournal
We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it is now tractable to solve such problems. 
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