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  -