A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection
Year of publication: |
2010
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Authors: | Sotirov, Renata ; Takano, Y. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | Multi-period portfolio optimization | Polynomial optimization problem | Constant rebalancing | Semidefinite programming | Mean-variance criterion |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 2010-114 |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice |
Source: |
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