# 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} }

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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