Timeline for is there a convex formulation for optimizing profit in this case?
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| Nov 9, 2010 at 17:28 | comment | added | John | Thanks for the input. I'm actually trying to phrase the problem as a convex problem and I'm not sure how to do it or whether its possible. Whether the optimization itself is online or batch later isn't as relevant. It would be if the associated function weights were adaptive. WRT portfolio optimization, you mean Markowitz's theorems? They are Pareto on a trade off between risk/reward given an estimate of covariances and expected returns. In this problem I'm trying to optimize an allocation function over a history of daily data using indicators ... its different as far as I can tell. | |
| Nov 9, 2010 at 17:04 | history | answered | Warren Schudy | CC BY-SA 2.5 |