  We develop a dual-control method for approximating investment strategies in
incomplete environments that emerge from the presence of trading constraints.
Convex duality enables the approximate technology to generate lower and upper
bounds on the optimal value function. The mechanism rests on closed-form
expressions pertaining to the portfolio composition, from which we are able to
derive the near-optimal asset allocation explicitly. In a real financial
market, we illustrate the accuracy of our approximate method on a dual CRRA
utility function that characterises the preferences of a finite-horizon
investor. Negligible duality gaps and insignificant annual welfare losses
substantiate accuracy of the technique.
