A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

Y. Takano, R. Sotirov

Research output: Working paperDiscussion paperOther research output

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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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Polynomials

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

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

Tilburg : Operations research, 2010. (CentER Discussion Paper; Vol. 2010-114).

Research output: Working paperDiscussion paperOther research output

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KW - Semidefinite programming

KW - Mean-variance criterion

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Takano Y, Sotirov R. A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection. Tilburg: Operations research. 2010. (CentER Discussion Paper).