@techreport{50bcc54f74514e2788a5305489e34f41,
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.",
keywords = "Multi-period portfolio optimization, Polynomial optimization problem, Constant rebalancing, Semidefinite programming, Mean-variance criterion",
author = "Y. Takano and R. Sotirov",
note = "Pagination: 23",
year = "2010",
language = "English",
volume = "2010-114",
series = "CentER Discussion Paper",
publisher = "Operations research",
type = "WorkingPaper",
institution = "Operations research",
}