### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Operations research |

Number of pages | 23 |

Volume | 2010-114 |

Publication status | Published - 2010 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2010-114 |

### Fingerprint

### Keywords

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

### Cite this

*A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection*. (CentER Discussion Paper; Vol. 2010-114). Tilburg: Operations research.

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**A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection.** / Takano, Y.; Sotirov, R.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

AU - Takano, Y.

AU - Sotirov, R.

N1 - Pagination: 23

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - Multi-period portfolio optimization

KW - Polynomial optimization problem

KW - Constant rebalancing

KW - Semidefinite programming

KW - Mean-variance criterion

M3 - Discussion paper

VL - 2010-114

T3 - CentER Discussion Paper

BT - A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

PB - Operations research

CY - Tilburg

ER -