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 semide...

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Bibliographic Details
Published in:Computational optimization and applications 2012-07, Vol.52 (3), p.645-666
Main Authors: Takano, Yuichi, Sotirov, Renata
Format: Article
Language:English
Subjects:
Algorithms
Convex and Discrete Geometry
Management Science
Mathematics
Mathematics and Statistics
Operations Research
Operations Research/Decision Theory
Optimization
Polynomials
Portfolio management
Statistics
Studies
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Summary: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.
ISSN:0926-6003
1573-2894
DOI:10.1007/s10589-011-9436-9