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Evaluating Portfolio Policies: A Duality Approach
(2003-08-15)
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
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On an Extension of Condition Number Theory to Non-Conic Convex Optimization
(2003-02-26)
The purpose of this paper is to extend, as much as possible, the modern theory of
condition numbers for conic convex optimization: z_* = min cx subject to Ax-b \in
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