A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection
AbstractWe 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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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-114.
Date of creation: 2010
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Web page: http://center.uvt.nl
Multi-period portfolio optimization; Polynomial optimization problem; Constant rebalancing; Semidefinite programming; Mean-variance criterion;
Other versions of this item:
- Yuichi Takano & Renata Sotirov, 2012. "A polynomial optimization approach to constant rebalanced portfolio selection," Computational Optimization and Applications, Springer, vol. 52(3), pages 645-666, July.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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