Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability
多期动态投资组合选择:高维资产与收益可预测性
Multiperiod portfolio choice is the central problem in active asset management. Multiperiod dynamic portfolios are notoriously difficult to solve, especially when there are hundreds of tradable assets as well as a large number of state variables. In this article, we develop a novel two-step methodology to solve the multiperiod dynamic portfolio choice problem with high dimensional assets in the presence of return predictability conditional on a large number of state…