Mimicking Portfolios with Conditioning Information

19 Pages Posted: 22 Jul 2004

See all articles by Wayne E. Ferson

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

Multiple version iconThere are 2 versions of this paper

Date Written: October 10, 2003

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).

Suggested Citation

Ferson, Wayne E. and Siegel, Andrew F. and Xu, Tracy, Mimicking Portfolios with Conditioning Information (October 10, 2003). Available at SSRN: https://ssrn.com/abstract=567089 or http://dx.doi.org/10.2139/ssrn.567089

Wayne E. Ferson (Contact Author)

University of Southern California ( email )

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Los Angeles, CA 90089
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HOME PAGE: http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

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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 )

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Denver, CO 80208-2685
United States

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