@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",

}