Dynare for dynamic asset allocation


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?

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

[quote]Models with portfolio choice]