A polynomial optimization approach to constant rebalanced portfolio selection
type: Item
instance of: scholarly article
title: A polynomial optimization approach to constant rebalanced portfolio selection
zbMATH Open document ID: 1259.91080
author: Yuichi Takano
author: Renata Sotirov
published in: Computational Optimization and Applications
publication date: 2012-12-12T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 6115312
zbMATH Keywords: multi-period portfolio optimization
zbMATH Keywords: polynomial optimization problem
zbMATH Keywords: constant rebalancing
zbMATH Keywords: mean-variance criterion
describes a project that uses: CONOPT
describes a project that uses: SeDuMi
describes a project that uses: SparsePOP
describes a project that uses: GloptiPoly
MaRDI profile type: MaRDI publication profile
full work available at URL: s10589-011-9436-9
OpenAlex ID: W2007383769
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DOI: 10.1007/S10589-011-9436-9
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description: scientific article; zbMATH DE number 6115312