| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11020 |
| 来源ID | Working Paper 11020 |
| Mimicking Portfolios with Conditioning Information | |
| Wayne E. Ferson; Andrew F. Siegel; Pisun (Tracy) Xu | |
| 发表日期 | 2005-01-10 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w11020 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568655 |
| 推荐引用方式 GB/T 7714 | Wayne E. Ferson,Andrew F. Siegel,Pisun . Mimicking Portfolios with Conditioning Information. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11020.pdf（377KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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