Multi-Period Trading Via Convex Optimization

by Stephen Boyd, Steven Diamond, Enzo Busseti

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...

• Format: Paperback
• Language: English
• ISBN: 1680833286
• ISBN13: 9781680833287
• Release Date: August 2017
• Publisher: Now Publishers
• Length: 92 Pages
• Weight: 0.31 lbs.
• Dimensions: 0.2" x 6.1" x 9.2"