Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

Yongyang Cai, Kenneth Judd and Rong Xu

No 18709, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C61 C63 G11 (search for similar items in EconPapers)
Date: 2013-01
New Economics Papers: this item is included in nep-cmp and nep-dge
Note: TWP
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Working Paper: Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs (2020)
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