2 citations · 2 across the 2 of their papers we have counts for
2 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.GN2019★ 2 cited
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…