Takano, Yuichi; Sotirov, Renata - In: Computational Optimization and Applications 52 (2012) 3, pp. 645-666
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...
