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• W3125890251 startingPage "1247" @default.
• W3125890251 abstract "We consider a broad class of dynamic portfolio optimization problems that allow for complex models of return predictability, transaction costs, trading constraints, and risk considerations. Determining an optimal policy in this general setting is almost always intractable. We propose a class of linear rebalancing rules and describe an efficient computational procedure to optimize with this class. We illustrate this method in the context of portfolio execution and show that it achieves near optimal performance. We consider another numerical example involving dynamic trading with mean-variance preferences and demonstrate that our method can result in economically large benefits." @default.
• W3125890251 created "2021-02-01" @default.
• W3125890251 creator A5026049014 @default.
• W3125890251 creator A5033283954 @default.
• W3125890251 date "2017-06-01" @default.
• W3125890251 modified "2023-09-25" @default.
• W3125890251 title "Dynamic Portfolio Choice with Linear Rebalancing Rules" @default.
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• W3125890251 doi "https://doi.org/10.1017/s0022109017000345" @default.
• W3125890251 hasPublicationYear "2017" @default.
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