The Efficient Use of Conditioning Information in Portfolios | Zendy

Ferson Wayne E. | Zendy; Siegel Andrew F. | Zendy

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The Efficient Use of Conditioning Information in Portfolios

Author(s) -

Ferson Wayne E.,

Siegel Andrew F.

Publication year - 2001

Publication title -

the journal of finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 18.151

H-Index - 299

eISSN - 1540-6261

pISSN - 0022-1082

DOI - 10.1111/0022-1082.00351

Subject(s) - conditioning , portfolio , variance (accounting) , capital asset pricing model , asset (computer security) , econometrics , actuarial science , conditional variance , computer science , economics , financial economics , mathematics , statistics , volatility (finance) , accounting , computer security , autoregressive conditional heteroskedasticity

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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