| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18709 |
| 来源ID | Working Paper 18709 |
| Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs | |
| Yongyang Cai; Kenneth L. Judd; Rong Xu | |
| 发表日期 | 2013-01-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Mathematical Tools ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18709 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576383 |
| 推荐引用方式 GB/T 7714 | Yongyang Cai,Kenneth L. Judd,Rong Xu. Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18709.pdf（392KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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