Towards Global Optimization of Constant Rebalanced Portfolio
Yuichi Takano, Renata Sotirov
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 meanvariance criterion. In order to solve the corresponding POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled directly by known polynomial optimization solvers.