Multi Period Optimizer

ConvexTrader.multi_period_optimization.multi_period_optimization(H, r_t, portfolio, gamma_t, psi_t, phi_trade, phi_hold)

Multi-period portfolio optimization.

Args:

H: Number of periods r_t: Returns matrix portfolio: Portfolio object gamma_t: Risk aversion parameters psi_t: Risk factors phi_trade: Trading costs phi_hold: Holding costs

Returns:

numpy.ndarray: Optimal trade vectors

Raises:

ValidationError: If input parameters are invalid OptimizationError: If optimization fails