Multi-Period Trading via Convex Optimization considers a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. It describes a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. It then describes a multi-period version of the trading method, where optimization is used to plan a sequence of trades, with only the first one executed, using...
Multi-Period Trading via Convex Optimization considers a basic model of multi-period trading, which can be used to evaluate the performanc...