A polynomial optimization approach to constant rebalanced portfolio selection

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

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Year of publication:	2012
Authors:	Takano, Yuichi ; Sotirov, Renata
Published in:	Computational Optimization and Applications. - Springer. - Vol. 52.2012, 3, p. 645-666
Publisher:	Springer
Subject:	Multi-period portfolio optimization \| Polynomial optimization problem \| Constant rebalancing \| Semidefinite programming \| Mean-variance criterion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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