In this thesis, we consider three non-trivial problems of risk allocation and apply approaches
from theoretical finance and risk management to address several policy debates from a …

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as
portfolio allocation for individuals and optimal economic growth are typical examples …

We implement a dynamic programming algorithm on a computational grid consisting of
loosely coupled processors, possibly including clusters and individual workstations. The grid …

This paper introduces a nonlinear certainty‐equivalent approximation method for dynamic
stochastic problems. We first introduce a novel, stable, and efficient method for computing …

We consider the problem of optimal dynamic trading in the presence of predictable returns
and proportional transaction costs for an investor choosing among multiple assets. The …

Selecting the optimal combination of assets in a portfolio is one of the most important
decisions in investment management. As investment is a long term concept, looking into a …

Dynamic Portfolio optimization is the process of distribution and rebalancing of a fund into
different financial assets such as stocks, cryptocurrencies, etc, in consecutive trading periods …

This paper studies the multi-period mean-variance portfolio allocation problem with
transaction costs. Many methods have been proposed these last years to challenge the …

Numerical dynamic programming algorithms typically use Lagrange data to approximate
value functions over continuous states. Hermite data can be easily obtained from solving the …

We introduce a comprehensive computational framework for solving dynamic portfolio
choice problems with many risky assets, transaction costs, and borrowing and short-selling …