Dynare for dynamic asset allocation

Dynare help (legacy posts)
1

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?

2

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]

.