3 papers
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…
econ.GN2020
The Role of Uncertainty in Controlling Climate Change
Yongyang Cai
Integrated Assessment Models (IAMs) of the climate and economy aim to analyze the impact and efficacy of policies that aim to control climate change, such as carbon taxes and subsi…
econ.GN2019
Climate Policy under Spatial Heat Transport: Cooperative and Noncooperative Regional Outcomes
Yongyang Cai, William Brock, Anastasios Xepapadeas +1
We build a novel stochastic dynamic regional integrated assessment model (IAM) of the climate and economic system including a number of important climate science elements that are…