TY  - JOUR
AU  - Cai,Yongyang
AU  - Judd,Kenneth L.
AU  - Xu,Rong
TI  - Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18709
PY  - 2013
Y2  - January 2013
UR  - http://www.nber.org/papers/w18709
L1  - http://www.nber.org/papers/w18709.pdf
N1  - Author contact info:
Yongyang Cai
Hoover Institution
Stanford University
Stanford, CA 94305
E-Mail: yycai@stanford.edu

Kenneth L. Judd
Hoover Institution
Stanford University
Stanford, CA  94305-6010
Tel: 650/723-5866
Fax: 650/723-1687
E-Mail: kennethjudd@mac.com

Rong Xu
Department of Management Science and Engineering
Stanford University
Stanford, CA 94305, USA
E-Mail: rongxu06@gmail.com
AB  - 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.
ER  -