02126cam a22002777 4500001000600000003000500006005001700011008004100028100002100069245012400090260006600214490004100280500001500321520092100336530006101257538007201318538003601390690009401426690010101520700001901621700001701640710004201657830007601699856003701775856003601812w9861NBER20190721105648.0190721s2003 mau||||fs|||| 000 0 eng d1 aHaugh, Martin B.10aEvaluating Portfolio Policiesh[electronic resource]:bA Duality Approach /cMartin B. Haugh, Leonid Kogan, Jiang Wang. aCambridge, Mass.bNational Bureau of Economic Researchc2003.1 aNBER working paper seriesvno. w9861 aJuly 2003.3 aThe 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aG11 - Portfolio Choice • Investment Decisions2Journal of Economic Literature class. 7aC63 - Computational Techniques • Simulation Modeling2Journal of Economic Literature class.1 aKogan, Leonid.1 aWang, Jiang.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w9861.4 uhttp://www.nber.org/papers/w986141uhttp://dx.doi.org/10.3386/w9861