Cai, Yongyang. <br/><br/>
Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs / 
Yongyang Cai, Kenneth L. Judd, Rong Xu. 
 - Cambridge, Mass.  National Bureau of Economic Research  2013. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w18709 .
 - Working Paper Series (National Bureau of Economic Research)  no. w18709. .
<br/><br/> January 2013. 
<br/><br/> 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. 
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