Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
Download or Read eBook Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs PDF written by Yongyang Cai and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle.
Author | : Yongyang Cai |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
ISBN-10 | : OCLC:894919613 |
ISBN-13 | : |
Rating | : 4/5 (13 Downloads) |
Book Synopsis Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs by : Yongyang Cai
Book excerpt: 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.