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Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization
Thursday 14 April 2022
In this article, we consider a multi-period portfolio optimization problem, which is an extension of the single-period mean-variance model. We discuss several formulations of the objective function, constraints and coupling relationships. We then derive three numerical algorithms that can be used to solve such problems: the alternating direction method of multipliers, the block coordinate descent algorithm and the augmented quadratic programming method.
Working Paper 126-2022 | April 2022