Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
NBER Working Paper No. 18709
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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Document Object Identifier (DOI): 10.3386/w18709
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