The Efficient Use of Conditioning Information in Portfolios

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, e...

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Veröffentlicht in:	The Journal of finance (New York) 2001-06, Vol.56 (3), p.967-982
Hauptverfasser:	Ferson, Wayne E., Siegel, Andrew F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Conditioning Economic models Efficiency Efficient strategies Expected returns Financial portfolios Information analysis Information use Investment policy Portfolio analysis Portfolio management Risk Risk aversion Standard deviation Statistical variance Studies Utility functions Utility maximization Variance analysis Working papers
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Beschreibung
Zusammenfassung:	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.
ISSN:	0022-1082 1540-6261
DOI:	10.1111/0022-1082.00351