Multi-Period Portfolio Optimization with Constraints and Transaction Costs

@inproceedings{Skaf2009MultiPeriodPO,
  title={Multi-Period Portfolio Optimization with Constraints and Transaction Costs},
  author={Jo{\"e}lle Skaf and Stephen Boyd},
  year={2009}
}
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize the mean-square deviation of final wealth from a given desired value. When there are no additional constraints, this problem can be solved by standard dynamic programming; the optimal trading policy is affine, i.e., linear plus a constant. We describe a suboptimal policy that handles additional… CONTINUE READING
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