Single Period Optimizer

ConvexTrader.single_period_optimization.single_period_optimization(r_t, w_t, gamma, phi_trade, phi_hold)

Solve single-period portfolio optimization problem.

Args:

r_t: Expected returns vector w_t: Current portfolio weights gamma: Risk aversion parameter phi_trade: Trading cost function phi_hold: Holding cost function

Returns:

numpy.ndarray: Optimal trade vector

Raises:

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