A polynomial optimization approach to constant rebalanced portfolio selection
نویسندگان
چکیده
We address the multi-period portfolio optimization problem with the constant rebalanc-ing 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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عنوان ژورنال:
- Comp. Opt. and Appl.
دوره 52 شماره
صفحات -
تاریخ انتشار 2012