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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Volume (Year): 52 (2012)
Issue (Month): 3 (July)
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