Evaluating portfolio policies: A duality approach
成果类型：
Article
署名作者：
Haugh, Martin B.; Kogan, Leonid; Wang, Jiang
署名单位：
Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1060.0279
发表日期：
2006
页码：
405-418
关键词：
摘要：
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.