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 usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using...

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 C_Y , x \in C_X, to the more general non-conic format: (GP_d) z_* = min cx subject to Ax-b \in C_Y , x \in P, where P is any closed...