Mimicking Portfolios with Conditioning Information / Wayne E. Ferson, Andrew F. Siegel, Pisun (Tracy) Xu.

Format:

Book

Author/Creator:

Ferson, Wayne E.

Contributor:

National Bureau of Economic Research.

Siegel, Andrew F.

Xu, Pisun (Tracy).

Series:

Working Paper Series (National Bureau of Economic Research) no. w11020.

NBER working paper series no. w11020

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

January 2005.