Multi-Period Trading via Convex Optimization

✍ Scribed by Stephen Boyd

Publisher: NOW Publishers
Year: 2017
Tongue: English
Leaves: 77
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

1 Introduction......Page 5
2.1 Portfolio asset and cash holdings......Page 9
2.2 Trades......Page 11
2.3 Transaction cost......Page 12
2.4 Holding cost......Page 14
2.5 Self-financing condition......Page 15
2.6 Investment......Page 17
2.7 Aspects not modeled......Page 18
2.8 Simulation......Page 20
3.1 Absolute metrics......Page 22
3.2 Metrics relative to a benchmark......Page 23
4 Single-Period Optimization......Page 25
4.1 Risk-return optimization......Page 26
4.2 Risk measures......Page 29
4.3 Forecast error risk......Page 33
4.4 Holding constraints......Page 35
4.5 Trading constraints......Page 38
4.6 Soft constraints......Page 39
4.7 Convexity......Page 40
4.8 Using single-period optimization......Page 43
5.1 Motivation......Page 47
5.2 Multi-period optimization......Page 49
5.3 Computation......Page 53
5.5 Multi-scale optimization......Page 54
6 Implementation......Page 56
6.1 Components......Page 57
7.1 Data for simulation......Page 59
7.2 Portfolio simulation......Page 60
7.3 Single-period optimization......Page 61
7.4 Multi-period optimization......Page 68
7.5 Simulation time......Page 71
References......Page 73

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