Abstract

http://ssrn.com/abstract=645262
 
 

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Mimicking Portfolios with Conditioning Information


Wayne E. Ferson


University of Southern California; National Bureau of Economic Research (NBER)

Andrew F. Siegel


University of Washington - Department of Finance and Business Economics; National Bureau of Economic Research (NBER)

Tracy Xu


University of Denver

January 2005

NBER Working Paper No. w11020

Abstract:     
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.

Number of Pages in PDF File: 51

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Date posted: February 1, 2005  

Suggested Citation

Ferson, Wayne E. and Siegel, Andrew F. and Xu, Tracy, Mimicking Portfolios with Conditioning Information (January 2005). NBER Working Paper No. w11020. Available at SSRN: http://ssrn.com/abstract=645262

Contact Information

Wayne E. Ferson (Contact Author)
University of Southern California ( email )
Los Angeles, CA 90089
United States
HOME PAGE: http://www-rcf.usc.edu/~ferson/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics ( email )
Box 353200
Seattle, WA 98195
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Tracy Xu
University of Denver ( email )
Denver, CO 80208-2685
United States
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