How To Approach Multi-Period Optimisation (opens in new tab)

You should care about multi-period optimisation because the portfolio problem is actually a sequential decision. Think about it, your signals are not single period predictors with a one-period cliff in alpha decay. That is to say, your signals produce a prediction, and this prediction plays out over many periods, and the strength (and relevance) of this prediction slowly decreases over the course of its lifetime. With single period optimisers, there is literally no way that you can capture th...