1 option
Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs / Yongyang Cai, Kenneth L. Judd, Rong Xu.
- Format:
- Book
- Author/Creator:
- Cai, Yongyang.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18709.
- NBER working paper series no. w18709
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- January 2013.
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