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 language | English |
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| Pages (from-to) | 645-666 |
| Journal | Computational Optimization and Applications |
| Volume | 52 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2012 |