The Efficient Use of Conditioning Information in Portfolios
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- 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.