Near-optimal asset allocation in financial markets with trading constraints
提出一种对偶控制方法，通过投影无约束辅助问题的最优解来逼近带凸交易约束的多维金融市场中的投资策略，并给出上下界以衡量精度。
We develop a dual-control method for approximating investment strategies in multidimensional financial markets with convex trading constraints. The method relies on a projection of the optimal solution to an (unconstrained) auxiliary problem to obtain a feasible and near-optimal solution to the original problem. We obtain lower and upper bounds on the optimal value function using convex duality methods. The gap between the bounds indicates the precision of the near-optimal solution. We illustrate the effectiveness of our method in a market with different trading constraints such as borrowing, short-sale constraints and non-traded assets. We also show that our method works well for state-dependent utility functions.