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Title: Towards Global Optimization of Constant Rebalanced Portfolio (The advances and applications of optimization method)
Authors: Takano, Yuichi
Sotirov, Renata
Author's alias: 高野, 祐一
Keywords: Multi-period portfolio optimization
Polynomial optimization problem
Constant rebalancing
Semidefinite programming
Mean-variance criterion
Issue Date: Jan-2012
Publisher: 京都大学数理解析研究所
Journal title: 数理解析研究所講究録
Volume: 1773
Start page: 47
End page: 56
URI: http://hdl.handle.net/2433/171715
Appears in Collections:The advances and applications of optimization method

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