This paper studies the mean-risk portfolio optimization problem with nonconvex transaction costs. We employ the conditional value-at-risk (CVaR) as a risk measure. There are a number of studies that aim at efficiently solving large-scale CVaR minimization problems. None of these studies,...

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...

Earth mover's distance (EMD for short) is a perceptually meaningful dissimilarity measure between histograms. The computation of EMD reduces to a network flow optimization problem; however, it lays a heavy computational burden when the number of locations of histograms is large. In this paper,...