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Computational Optimization and Applications

, Volume 52, Issue 3, pp 645–666 | Cite as

A polynomial optimization approach to constant rebalanced portfolio selection

  • Yuichi Takano
  • Renata SotirovEmail author
Open Access
Article

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 optimization Polynomial optimization problem Constant rebalancing Semidefinite programming Mean-variance criterion 

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Copyright information

© The Author(s) 2011

Open AccessThis is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.

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

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