The Efficient Use of Conditioning Information in Portfolios

  • Author(s): Wayne E. Ferson, Andrew F. Siegel
  • Published: Dec 17, 2002
  • Pages: 967-982
  • DOI: 10.1111/0022-1082.00351

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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