Hi, I want to know if dynare is capable of handling markowitz portfolio optimization for time varying asset’s risk and reward’s? For example if the asset’s risk is altering by the state of macroeconomic’s? (In a way That portfolio’s wheight’s be a time serie’s) Would we have changing steady stat…

A starting point for an answer would be [image] Static Portfolio Choice Dynare help (legacy posts) I haven’t worked with this type of problems myself, so I am not sure. The typical problem with portfolio choice models is that standard Dynare cannot find the portfolio alloc…

Dear professor, thank you for the comprehensive explanation, i’ll follow what you mentioned and let you know if i came to a conclusion

You can also think of solving the model with 3rd order approximation. In the non-stochastic steady state, all assets will have the same return but their expected returns will move with their risk profile in simulations.

I think i dont quite follow your suggestion, does that make different asset weight allocation’s along time period’s? Should we then take expectation’s as portfolio optimization problem? Can you elaborate it a little or maybe you would be kind enough to guide me to an example in the literature

Portfolio choice

General DSGE Modeling

jpfeifer 13 April 2025 14:17 2

A starting point for an answer would be