Listing 1 - 6 of 6 |
Sort by
|
Choose an application
Choose an application
Choose an application
The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bound is close to the expected utility achieved by the given portfolio policy, the potential utility loss of this policy is guaranteed to be small. Our algorithm can be used to evaluate portfolio policies in models with incomplete markets and position constraints. We illustrate our methodology by analyzing the static and myopic policies in markets with return predictability and constraints on short sales and borrowing.
Choose an application
Metals --- Shale --- Geochemistry --- Environmental aspects --- New Albany Shale (Ind. and Ky.)
Choose an application
Metals --- Shale --- Geochemistry --- Environmental aspects --- New Albany Shale (Ind. and Ky.)
Choose an application
Rapid advances in identifying the epidemiology, physiology, and genetics of glaucoma have led to dramatic developments in diagnostic and therapeutic techniques.
Eye --- Glaucoma. --- High intraocular pressure --- Intraocular pressure, High --- Ophthalmology --- Diseases. --- Diseases --- Diseases and defects
Listing 1 - 6 of 6 |
Sort by
|