what do you guys think about this one? white paper: Multi-Period Trading via Convex Optimization https://web.stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf …
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Paper describes the basic set up for multi period portfolio optimization well. It assumes you already have multi-period alphas which most people simply do not! Many more people *talk* about multi period portfolio optimization than actually use it in practice :)
It would not be worth spending time on this unless you already have a good, profitable-in-live-trading implementation of single period portfolio optimization.
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think it describes the set up for single period pretty well also. I agree MPO is there to account for additional stuff that’s difficult to capture in SPO. you don’t think it’s good to know regardless though?
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You’re completely right, one of the best things about the paper is that it has a really clear description of single period optimization. Worth reading it just for that!
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