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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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?
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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(actually hoping to hear that it did something completely wrong in the setups so I learn different perspectives
)Thanks. Twitter will use this to make your timeline better. UndoUndo
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Could be interesting to know about MPO and think about the problem. Just my opinion that it’s overkill for most strategies (plus you need to be sure your multi-period alphas are consistent and that is non-trivial, getting it wrong will be worse than not trying MPO at all)
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Nice. It could also be interesting to look at optimizing a portfolio via the Wiener-Khinchin-Einstein theorem (spectral portfolio optimization).
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