[PDF][PDF] 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.
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.
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.
nber.org