Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
收藏NBER2013-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18709
下载链接
链接失效反馈官方服务：
资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2013-01-01
