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
Authors:	Cai, Yongyang
Other Persons:	Judd, Kenneth L. (contributor) ; Xu, Rong (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Transaktionskosten \| Transaction costs \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (32 p)
Series:	NBER Working Paper ; No. w18709
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2013 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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