Abstract
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.
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Takano, Y., Sotirov, R. A polynomial optimization approach to constant rebalanced portfolio selection. Comput Optim Appl 52, 645–666 (2012). https://doi.org/10.1007/s10589-011-9436-9
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DOI: https://doi.org/10.1007/s10589-011-9436-9