MPO example is introducing future data about cvxportfolio HOT 2 CLOSED

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It is the return forecast of time t+1 while you are at time t. It is a MPO, so you have return forecast for each forward period. In comparison, SPO is single period therefore it has a single period return forecast.
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On Jun 7, 2020, at 3:09 AM, chloe-wang @.***> wrote: it looks like the MPO example is using the future return data, since it's impossible to know the exact return estimate for time t+1 at time t. This may make the comparison between SPO and MPO unfair. — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub, or unsubscribe.

hi thanks. I understand we have the the forecast for each forward period. but in the MPO example, it looks like we are using the forecast from SPO at time t+1, which is not available at time t actually in practical world. I understand it's for demonstration only, but it may make the conclusion that MPO is better than SPO unconvincing.

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