A polynomial optimization approach to constant rebalanced portfolio selection

DOI10.1007/S10589-011-9436-9MaRDI QIDQ694522zbMATHOpenAlexFDO

Authors Yuichi Takano, Renata Sotirov

Publication date 12 December 2012

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-011-9436-9

zbMATH Keywords

polynomial optimization problemmean-variance criterionconstant rebalancingmulti-period portfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Semidefinite programming (90C22)

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• Robust portfolio selection with polyhedral ambiguous inputs

Cites work

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• Constant rebalanced portfolio optimization under nonlinear transaction costs
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Cited in

(4)

• Computing optimal rebalance frequency for log-optimal portfolios in linear time
• Amortized constant relaxed rebalancing using standard rotations
• Constant rebalanced portfolio optimization under nonlinear transaction costs
• scientific article; zbMATH DE number 5692060 (Why is no real title available?)

Describes a project that uses

Uses Software

• CONOPT
• SeDuMi
• SparsePOP
• GloptiPoly

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