The efficient use of conditioning information in portfolios

• 成果类型: Article
• 署名作者: Ferson, WE; Siegel, AF
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00351
• 发表日期: 2001
• 页码: 967-982
• 关键词: asset pricing-models; returns; BEHAVIOR

摘要

We study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest Variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing.