A polynomial optimization approach to constant rebalanced portfolio selection

Y. Takano, R. Sotirov

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.
Original languageEnglish
Pages (from-to)645-666
JournalComputational Optimization and Applications
Volume52
Issue number3
DOIs
Publication statusPublished - 2012

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Portfolio Selection
Polynomials
Optimization Problem
Cutting Plane Algorithm
Portfolio Optimization
Polynomial
Optimization
Semidefinite Programming
Strategy

Cite this

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title = "A polynomial optimization approach to constant rebalanced portfolio selection",
abstract = "We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.",
author = "Y. Takano and R. Sotirov",
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A polynomial optimization approach to constant rebalanced portfolio selection. / Takano, Y.; Sotirov, R.

In: Computational Optimization and Applications, Vol. 52, No. 3, 2012, p. 645-666.

Research output: Contribution to journalArticleScientificpeer-review

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