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?
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dynare for dynamic asset allocation
by button » Wed Nov 26, 2008 9:53 pm
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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
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