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