A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

Y. Takano and Renata Sotirov ()

No 2010-114, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Multi-period portfolio optimization; Polynomial optimization problem; Constant rebalancing; Semidefinite programming; Mean-variance criterion (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... 9290eb78389/download (application/pdf)

Related works:
Journal Article: A polynomial optimization approach to constant rebalanced portfolio selection (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:50bcc54f-7451-4e27-88a5-305489e34f41

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().