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3 mars 2020
- 2003.01809
Mots-clés
Quantitative Finance - Portfolio Management Economics - General Economics Quantitative Finance - Computational Finance Quantitative Finance - Mathematical FinanceSujets proches
Funds Funding Finance, commerce, confiscations, etcCiter ce document
Yongyang Cai et al., « Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs », arXiv - économie
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Résumé
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple assets, and many trading periods in a finite horizon problem. We also solve dynamic stochastic problems, with a portfolio including one risk-free asset, an option, and its underlying risky asset, under the existence of transaction costs and constraints. These examples show that it is now tractable to solve such problems.