A polynomial optimization approach to constant rebalanced portfolio selection

Yuichi Takano () and Renata Sotirov ()

Computational Optimization and Applications, 2012, vol. 52, issue 3, 645-666

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. Copyright The Author(s) 2012

Keywords: Multi-period portfolio optimization; Polynomial optimization problem; Constant rebalancing; Semidefinite programming; Mean-variance criterion (search for similar items in EconPapers)
Date: 2012
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Working Paper: A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection (2010)
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DOI: 10.1007/s10589-011-9436-9

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