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作者：Ferson, WE; Siegel, AF
作者单位：University of Washington; University of Washington Seattle
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.
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作者：Xia, YH
作者单位：University of Pennsylvania
摘要：This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a long-horizon investor. Uncertainty about the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment horizon. There is substantial market timing in the optimal hedge demands, which is caused by stochastic covariance bet...
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作者：Andersen, TG; Bollerslev, T; Das, A
作者单位：Northwestern University; Duke University; National Bureau of Economic Research
摘要：Variance-ratio tests are routinely employed to assess the Variation in return Volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday Volatility pattern following the removal of trading restrictions in Tokyo. Contrary t...
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作者：Baks, KP; Metrick, A; Wachter, J
作者单位：University of Pennsylvania; New York University
摘要：This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some e...
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作者：Coval, JD; Shumway, T
作者单位：University of Michigan System; University of Michigan
摘要：This paper examines expected option returns in the context of mainstream asset-pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk-free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero-beta, at-the-mone...
