Hi,
I was wondering whether I can use Dynare for solving dynamic asset allocation problem with more than two asset classes? My question concerns the multi-period utility maximization model with given initial wealth and possible cash flows in each period. An investor invests in n diffrent asset classes and at the beginning of each period he can rearrange his portfolio.
Can anybody help me?
Dynare forums
Forums for asking questions, posting comments and uploading examples related to Dynare
dynare for dynamic asset allocation
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
2 posts
• Page 1 of 1
dynare for dynamic asset allocation
by button » Wed Nov 26, 2008 9:53 pm
- button
- Posts: 1
- Joined: Wed Nov 26, 2008 9:15 pm
Re: dynare for dynamic asset allocation
by jpfeifer » Fri Mar 22, 2013 7:38 am
In principle, yes, but it is not straightforward. You could only use Dynare's capabilities to implement e.g. the Devereux/Sutherland algorithm. See also
.http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=2493
- jpfeifer
- Posts: 6940
- Joined: Sun Feb 21, 2010 4:02 pm
- Location: Cologne, Germany
2 posts
• Page 1 of 1
Who is online
Users browsing this forum: Google [Bot] and 4 guests