A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

Y. Takano, R. Sotirov

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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
Place of PublicationTilburg
PublisherOperations research
Number of pages23
Volume2010-114
Publication statusPublished - 2010

Publication series

NameCentER Discussion Paper
Volume2010-114

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Keywords

  • Multi-period portfolio optimization
  • Polynomial optimization problem
  • Constant rebalancing
  • Semidefinite programming
  • Mean-variance criterion

Cite this

Takano, Y., & Sotirov, R. (2010). A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection. (CentER Discussion Paper; Vol. 2010-114). Operations research.