论文标题
通过交易成本进行动态投资组合优化的数值解决方案
Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
论文作者
论文摘要
我们将数值动态编程技术应用于与比例交易成本和缩短/借用约束的离散时间多资产组合优化问题。示例包括多个资产的问题，以及有限的地平线问题中的许多交易期。我们还解决了一个投资组合，包括一种无风险的资产，一种选择及其潜在的风险资产，在交易成本和限制下，解决了动态随机问题。这些示例表明，现在可以解决此类问题。
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.
