macrocephalopod

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 …

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.

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!

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)

what do you think of the potential use case - “For example, suppose our single period optimization-based strategy tells us to go very long in a rarely traded asset. We may not want to make the trade because we know that unwinding the position will incur large transaction costs. -