Premium
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.