Mimicking Portfolios with Conditioning Information
|
Wayne E. Ferson, Andrew F. Siegel, Pisun (Tracy) Xu
NBER Working Paper No. 11020
Issued in January 2005
NBER Program(s): AP
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.
Published: Ferson, Wayne, Andrew F. Siegel and Pisun Xu. "Mimicking Portfolios With Conditional Information," Journal of Financial and Quantitative Analysis, 2006, v41(3,Sep), 607-635.
This paper is available as PDF (378 K) or via email.
Machine-readable bibliographic record -
MARC,
RIS,
BibTeX
|
|
|
About
Support
The research activities of the NBER are funded by grants from federal research agencies, by private foundations, and by generous donations from our corporate associates and from private individuals. The NBER is a non-profit, 501(c)(3) organization. For information on supporting the NBER, please contact:
Mr. Denis Healy, Director of Development
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138-5398
ph: 617-868-3900
email: dhealy@nber.org
Close
