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...

In this paper, we examine the influences of risk aversion on various aspects of portfolio optimization. Our main message is that the risk aversion parameters in the Barra Optimizer provide users with the flexibility to control or adjust the risk levels of their optimal portfolios. They are...

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...