Multi-Period Paper Decoder Card

Symbol Table

h_t          dollar holdings                 the book, in dollars (cash included)
v_t          portfolio value                 the denominator
w_t = h_t/v_t  weights INCLUDING cash        1ᵀw = 1 by construction (L0003's budget,
                                             absorbed into bookkeeping)
z_t          normalized trades               the control (L0020)
φ^trade(z)   transaction cost                kinked |z| piece → no-trade zones (L0012)
                                             superlinear pieces → schedules (L0020)
φ^hold(w)    holding cost                    e.g. borrow fees on the short book (L0015's
                                             split gives you (w)₋ for free)
ψ(w)         risk penalty                    factor form FΣ_F Fᵀ + D (L0017)
holding constraints                          long-only, leverage L1 ball, factor
                                             neutrality Fᵀw = 0 — all walls (L0016)
SPO          single-period optimization      your L0019 build
MPO / MPC    multi-period + receding horizon solve H, execute one (L0020)

The Seven Interrogation Questions

1. where is |·| rewritten, which dialect?          (L0015)
2. what happened to the budget constraint?          (cash slot)
3. which cost exponents park; which schedule?       (L0012/L0020)
4. is risk charged on holdings or trades? why?      (L0002/L0017)
5. their answer to alpha error vs your L0018 ladder
6. MPC: what's re-estimated, what's committed?      (L0020)
7. one assumption YOU would challenge, and what breaks

Deliverable

the one-pager: decision variables | objective | constraints (tag each dual!)
| solver class after rewrites (QP/SOCP — say why) | challenged assumption
then: post question 7 on quant.stackexchange.com; skim cvxgrp/cvxportfolio

Use this page with Lesson 0021 (the three-pass protocol) and Reference 0020 (the notation in course dialect).