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On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
Chutian Ma / Paul Smith
numerical methods / optimizationResource overview

On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy

Paper2025

by Chutian Ma, Paul Smith

Tags
numerical methodsoptimizationportfolio managementtransaction costs

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Suggested foundations for optimisation and numerical methods and portfolio construction. Specialist prerequisites vary by paper.

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  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

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  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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