TY - GEN
T1 - Jackknife estimators for reducing bias in asset allocation
AU - Partani, Amit
AU - Morton, David P.
AU - Popova, Ivilina
PY - 2006/12/1
Y1 - 2006/12/1
N2 - We use jackknife-based estimators to reduce bias when estimating the optimal value of a stochastic program. Our discussion focuses on an asset allocation model with a power utility function. As we will describe, estimating the optimal value of such a problem plays a key role in establishing the quality of a candidate solution, and reducing bias improves our ability to do so efficiently. We develop a jackknife estimator that is adaptive in that it does not assume the order of the bias is known a priori.
AB - We use jackknife-based estimators to reduce bias when estimating the optimal value of a stochastic program. Our discussion focuses on an asset allocation model with a power utility function. As we will describe, estimating the optimal value of such a problem plays a key role in establishing the quality of a candidate solution, and reducing bias improves our ability to do so efficiently. We develop a jackknife estimator that is adaptive in that it does not assume the order of the bias is known a priori.
UR - http://www.scopus.com/inward/record.url?scp=46149111479&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=46149111479&partnerID=8YFLogxK
U2 - 10.1109/WSC.2006.323159
DO - 10.1109/WSC.2006.323159
M3 - Conference contribution
AN - SCOPUS:46149111479
SN - 1424405017
SN - 9781424405015
T3 - Proceedings - Winter Simulation Conference
SP - 783
EP - 791
BT - Proceedings of the 2006 Winter Simulation Conference, WSC
T2 - 2006 Winter Simulation Conference, WSC
Y2 - 3 December 2006 through 6 December 2006
ER -