Mimicking portfolios with conditioning information
By: Wayne E. Ferson, Andrew F. Siegel, Pisun (Tracy) Xu.
Contributors: Siegel, Andrew F.; Xu, Pisun; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11020; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11020.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Capital assets pricing model.; Portfolio management -- Mathematical models.
Description: "Mimicking portfolios have long been useful in asset pricing research.  In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state.  This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information.  The results generalize and integrate multifactor minimum variance efficiency (Fama, 1996) with conditional and unconditional mean variance efficiency (Hansen and Richard (1987), Ferson and Siegel, 2001).  Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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