CVXPortfolio implements the ideas developed in our accompanying paper.

If you use CVXPortfolio for published work, please cite it as

    author       = {S. Boyd and E. Busseti and S. Diamond and R. Kahn and K. Koh and P. Nystrup and J. Speth},
    title        = {Multi-Period Trading via Convex Optimization},
    journal      = {Foundations and Trends in Optimization},
    year         = {2017},
    pages        = {to appear}
    publisher    = {Now Publishers}
    url          = {},