Computational Optimization and Applications

, Volume 52, Issue 3, pp 645–666

A polynomial optimization approach to constant rebalanced portfolio selection

Open AccessArticle

DOI: 10.1007/s10589-011-9436-9

Cite this article as:
Takano, Y. & Sotirov, R. Comput Optim Appl (2012) 52: 645. doi:10.1007/s10589-011-9436-9

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.

Keywords

Multi-period portfolio optimizationPolynomial optimization problemConstant rebalancingSemidefinite programmingMean-variance criterion
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© The Author(s) 2011

Authors and Affiliations

  1. 1.Department of Industrial Engineering and Management, Graduate School of Decision Science and TechnologyTokyo Institute of TechnologyMeguro-kuJapan
  2. 2.Department of Econometrics and Operations ResearchTilburg UniversityLE TilburgThe Netherlands