A polynomial optimization approach to constant rebalanced portfolio selection
A polynomial optimization approach to constant rebalanced portfolio selection
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DOI：
10.1007/s10589-011-9436-9
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发表时间：
2010-10
影响因子：
2.2
通讯作者：
Yuichi Takano;R. Sotirov
中科院分区：
文献类型：
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作者：
Yuichi Takano;R. Sotirov
我们用不断再平衡策略来解决多时期投资组合优化问题。利用均方差准则将该问题表述为多项式优化问题（POP）。为了解决高度的pop问题，提出了一种基于半定规划的切平面算法。我们的算法可以解决任何已知的多项式优化算法都无法解决的问题。
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.