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...

This paper is concerned with a linear control policy for dynamic portfolio selection. We develop this policy by incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our optimization model, we demonstrate that the investment...