Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

Yongyang Cai, Kenneth L. Judd, Rong Xu

NBER Working Paper No. 18709
Issued in January 2013

---- Acknowledgements -----

Cai and Judd gratefully acknowledge NSF support (SES-0951576) We thank Walter Murray, Michael Saunders, Sunil Kumar, Benjamin Van Roy and Gerd Infanger for comments on earlier versions of this work. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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