A polynomial optimization approach to constant rebalanced portfolio selection |
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| Authors: | Yuichi Takano Renata Sotirov |
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| Institution: | 1. Department of Industrial Engineering and Management, Graduate School of Decision Science and Technology, Tokyo Institute of Technology, 2-12-1-W9-77 Ookayama, Meguro-ku, Tokyo, 152-8552, Japan
2. Department of Econometrics and Operations Research, Tilburg University, Warandelaan 2, 5000, LE Tilburg, The Netherlands
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| 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. |
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