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...

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...

Trade paring constraints enable portfolio managers to control the number of trades when constructing and rebalancing their portfolios. Allowing users to set trade paring constraints is a new feature in the Barra Optimizer (first available in Aegis 4.4 and also in Barra Open Optimizer 1.2)....