%0 Journal Article %A Mogens Graf Plessen %A Alberto Bemporad %T A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint %D 2018 %R 10.3905/jot.2018.1.064 %J The Journal of Trading %P 67-83 %V 13 %N 3 %X 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.TOPICS: Big data/machine learning, interest-rate and currency swaps, portfolio construction %U https://jot.pm-research.com/content/iijtrade/13/3/67.full.pdf