The Efficient Use of Conditioning Information in Portfolios |
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| Authors: | Wayne E Ferson & Andrew F Siegel |
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| Institution: | University of Washington and NBER,;University of Washington |
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| Abstract: | 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. |
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