Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs PDF full book. Access full book title Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs by Yongyang Cai. Download full books in PDF and EPUB format.

Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs PDF Author: Yongyang Cai
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :

Book Description
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.
➤