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Paper detail

Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple assets, and many trading periods in a finite horizon problem. We also solve dynamic stochastic problems, with a portfolio including one risk-free asset, an option, and its underlying risky asset, under the existence of transaction costs and constraints. These examples show that it is now tractable to solve such problems.

preprint2020arXivOpen access
Yongyang CaiKenneth JuddRong Xu
q-fin.MFq-fin.CPq-fin.ECq-fin.PMecon.GN
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Yongyang CaiKenneth JuddRong Xu

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