Optimal Portfolio Choice with Unknown Benchmark Efficiency

The authors thank Laurent Barras, Redouane Elkamhi, Robert Grauer, Ken Singleton, Shengzhe Tang, Kevin Wang, Jason Wei, Jialin Yu, Xudong Zeng, Chu Zhang, and Guofu Zhou; seminar participants at Central University of Finance and Economics, Hong Kong Polytechnic University, Hong Kong University, Iowa State University, Southwestern University of Finance and Economics, Tsinghua University, the University of Melbourne, the University of Toronto, the University of Wisconsin at Madison, and Wilfrid Laurier University; and participants at the 2011 Asian Finance Association Annual Meeting, the 2014 Hong Kong University of Science and Technology Finance Symposium on Asset Pricing, the 2015 China International Conference in Finance, the 2015 Northern Finance Association Conference, the 2015 Financial Management Association Conference, and the 2016 Australasian Finance and Banking Conference for helpful discussions and comments.