MultiPeriodOptimization Behavior Documentation

[pcgm-team]

With user provided returns forecast, with a single forecasted return per timestamp- how does the model use the forecast?

Is it looking at the next planning_horizon bars of forecast on that day (lookahead-biasing if you generated the forecast with data upto that timestamp); or is it persisting the same forecast for planning_horizon additional bars of optimization.

I've read the docs and paper, but the way it is implemented is very unclear.