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    » Evaluating Portfolio Policies: A Duality Approach
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    IOR
    2006
    58views more  IOR 2006»
    Evaluating Portfolio Policies: A Duality Approach
    13 years 7 months ago
    Evaluating Portfolio Policies: A Duality Approach
    Download  www.columbia.edu
    Martin B. Haugh, Leonid Kogan, Jiang Wang
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    WSC
    2007
    120views Modeling And Simulation» more  WSC 2007»
    Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies
    13 years 9 months ago
    Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies
    Download  www.informs-sim.org
    Recently developed dual techniques allow us to evaluate a given sub-optimal dynamic portfolio policy by using the policy to construct an upper bound on the optimal value function....
    Martin B. Haugh, Ashish Jain
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