英文标题：
《A posteriori multi-stage optimal trading under transaction costs and a
diversification constraint》
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作者：
Mogens Graf Plessen, Alberto Bemporad
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最新提交年份：
2018
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英文摘要：
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the stage-wise optimal allocation over a time horizon with potential investments in multiple currencies and various assets. Three variants are discussed, including unconstrained trading frequency, a fixed number of total admissable trades, and the waiting of a specific time-period after every executed trade until the next trade. The developed methods are based on efficient graph generation and consequent graph search, and are evaluated quantitatively on real-world data. The fundamental motivation of this work is preparatory labeling of financial time-series data for supervised machine learning.
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中文摘要：
本文提出了一种在交易成本和多元化约束下的后验（历史）多变量多阶段最优交易的简单方法。从某种货币的给定金额开始，我们分析了在多货币和各种资产的潜在投资情况下，在一个时间范围内的阶段性最优配置。本文讨论了三种变量，包括无限制的交易频率、固定数量的可接受交易总量以及在每次执行交易后等待特定时间段直到下一次交易。所开发的方法基于高效的图生成和后续图搜索，并在真实数据上进行了定量评估。这项工作的基本动机是为有监督机器学习准备金融时间序列数据的标记。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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