Evaluating Portfolio Policies: A Duality Approach

@article{Haugh2006EvaluatingPP,
  title={Evaluating Portfolio Policies: A Duality Approach},
  author={Martin B. Haugh and Leonid Kogan and Jiang Wang},
  journal={Operations Research},
  year={2006},
  volume={54},
  pages={405-418}
}
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… CONTINUE READING