Department of Management Science and Engineering
Stanford, CA 94305, USA
Institutional Affiliation: Stanford University
NBER Working Papers and Publications
|January 2013||Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs|
with , : 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.