Jackknife estimators for reducing bias in asset allocation

Authors:
Amit Partani;David P. Morton;Ivilina Popova
Affiliations:
The University of Texas at Austin, Austin, TX;The University of Texas at Austin, Austin, TX;Seattle University, Seattle, WA
Venue:
Proceedings of the 38th conference on Winter simulation
Year:
2006

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Abstract

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.