NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Rong Xu

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Working Papers

January 2013Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
with Yongyang Cai, Kenneth L. Judd: w18709
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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