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!