Multiperiod variance

[firdevsuykun]

Your python x result 8x5 dimension but mine 19x10 your T=10 but you get 5 time as far as I understand and in mu, Sigma = compute_inputs(assets) why turn the results yearly I could not understand,I also did not understand what s happening in MOSEK translation of formula?I want to split T as rolling window than calculate multiperiod min variance?How can I do?I want to solve min variance and max variance problem,and I want corresponding return values,how?

[aszekMosek]

Hi,

This notebook accompanies the following chapter in our portfolio cookbook:

https://docs.mosek.com/portfolio-cookbook/multiperiod.html

This chapter contains a detailed discussion of the model which should explain all the background.

Next week there will be someone available who can help with the other questions. I suggest you write the exact mathematical model of what you want to solve first.

[firdevsuykun]

I want to solve multiperiod min variance and insert ML into in it,first I want solve minimization of variance,Expr.add=summation I don t want summation here but how can I express M.objective("obj", ObjectiveSense.Minimize, Expr.add(obj_terms)) without Expr.add I got error

Objective

    obj_terms = []
    for t in range(T):
        term_t = s.index(t)
        obj_terms.append(term_t)
    M.objective("obj", ObjectiveSense.Minimize, Expr.add(obj_terms))

[aszekMosek]

You do not say what error you get. In principle your objective looks good although a more efficient way to write it would be

 M.objective("obj", ObjectiveSense.Minimize, Expr.sum(s))

If you want to play with the code then the manuals for the Fusion API are in:

https://docs.mosek.com/latest/pythonfusion/index.html

A good starting point is:

https://docs.mosek.com/latest/pythonfusion/modeling.html

When reporting issues please report full code and error messages. Without them it is hard to help. We are unable to guess everything you have on your end. Fully reproducible code with data is best. You can also contact MOSEK support email with specific issues.

[firdevsuykun]

Thanks a lot,I send e mail.