@article {Plessenjot.2018.1.064, author = {Mogens Graf Plessen and Alberto Bemporad}, title = {A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint}, elocation-id = {jot.2018.1.064}, year = {2018}, doi = {10.3905/jot.2018.1.064}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article presents a simple method for a posteriori (historical) multivariate, multistage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, the authors analyze the stage-wise optimal allocation over a time horizon with potential investments in multiple currencies and various assets. Three variants are discussed: unconstrained trading frequency, a fixed number of total admissible trades, and waiting 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.}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/early/2018/07/12/jot.2018.1.064}, eprint = {https://jot.pm-research.com/content/early/2018/07/12/jot.2018.1.064.full.pdf}, journal = {The Journal of Trading (Retired)} }