KKT

====== Multi-Period Trading via Convex Optimization ======

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===== 文献基本信息 =====

==== 标题 ====
Multi-Period Trading via Convex Optimization

==== 作者 ====
  - Stephen Boyd, Stanford University, USA, boyd@stanford.edu
  - Enzo Busseti, Stanford University, USA, ebusseti@stanford.edu
  - Steve Diamond, Stanford University, USA, stevend2@stanford.edu
  - Ronald N. Kahn, Blackrock, USA, ron.kahn@blackrock.com
  - Kwangmoo Koh, Blackrock, USA, kwangmoo.koh@blackrock.com
  - Peter Nystrup, Technical University of Denmark, Denmark, pnys@dtu.dk
  - Jan Speth, Blackrock, USA, jan.speth@blackrock.com 
 


==== 出版年份 ====
2016

==== 来源 ====


==== 关键词 ====


==== 摘要 ====
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe 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. We then describe 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 estimates of future quantities that are unknown when the trades are chosen. The single period method traces back to Markowitz; the multi-period methods trace back to model predictive control. Our contribution is to describe the single-period and multi-period methods in one simple framework, giving a clear description of the development and the approximations made. In this paper, we do not address a critical component in a trading algorithm, the predictions or forecasts of future quantities. The methods we describe in this paper can be thought of as good ways to exploit predictions, no matter how they are made. We have also developed a companion open-source software library that implements many of the ideas and methods described in the paper.



==== 引用方式 ====




==== 链接 ====
  - https://www.nowpublishers.com/article/Details/OPT-023
  - https://stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf
  - https://eyun.baidu.com/s/3mjB7Usg

===== 评阅意见 =====

==== 文献简介 ====

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==== 文献评价 ====


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=== 创新性 ===
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=== 相关性 ===
研究问题、发现

=== 严谨性 ===
适当的方法、分析的正确性等
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