A polynomial optimization approach to constant rebalanced portfolio selection

Y. Takano, R. Sotirov

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

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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