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20062021
most citedOn modelling bicycle power for velodromes: Part II Formulation for individual pursuits

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q-fin.PM2020

Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs

Yongyang Cai, Kenneth Judd, Rong Xu

We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrow…