Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

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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Year of publication:	2013-01
Authors:	Judd, Kenneth L. ; Cai, Yongyang ; Xu, Rong
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	TWP The price is Paper copy available by mail Number 18709
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

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