TY - JOUR AU - Ferson, Wayne E AU - Siegel, Andrew F AU - Xu, Pisun (Tracy) TI - Mimicking Portfolios with Conditioning Information JF - National Bureau of Economic Research Working Paper Series VL - No. 11020 PY - 2005 Y2 - January 2005 DO - 10.3386/w11020 UR - http://www.nber.org/papers/w11020 L1 - http://www.nber.org/papers/w11020.pdf N1 - Author contact info: Wayne E. Ferson Department of Finance and Business Economics University of Southern California 3670 Trousdale Parkway Suite 308 Los Angeles, CA 90089-0804 Tel: 213/740-5615 Fax: 213/740-6650 E-Mail: ferson@marshall.usc.edu Andrew Siegel AB - 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. ER -