English

Global optimization for the portfolio selection model with high-order moments

Optimization and Control 2023-09-06 v2

Abstract

In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample average approximation method, which can give a robust approximation of the PPO in form of linear conic optimization. The approximated problem can be solved globally with Moment-SOS relaxations. We summarize a semidefinite algorithm, which can be used to find reliable approximations of the optimal value and optimizer set of the PPO. Numerical examples are given to show the efficiency of the algorithm.

Keywords

Cite

@article{arxiv.2211.13046,
  title  = {Global optimization for the portfolio selection model with high-order moments},
  author = {Liu Yang and Yi Yang and Suhan Zhong},
  journal= {arXiv preprint arXiv:2211.13046},
  year   = {2023}
}

Comments

18 pages

R2 v1 2026-06-28T06:41:12.185Z