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When trades from separately managed accounts are pooled for execution, the realized market-impact cost can be far greater than the sum of the predicted cost over all accounts. Multi-portfolio optimization is a technique for rebalancing multiple portfolios at the same time, considering their joint effects while adhering to account-specific constraints.

The traditional Markowitz MVO approach is based on a single-period model. For long-term investors, multi-period optimization offers the opportunity to make “wait-and-see” policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon.