Mimicking portfolios with conditioning information:
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11020 |
| Subjects: | |
| Links: | http://papers.nber.org/papers/w11020.pdf |
| Abstract: | "Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama, 1996) with conditional and unconditional mean variance efficiency (Hansen and Richard (1987), Ferson and Siegel, 2001). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application"--National Bureau of Economic Research web site. |
| Physical Description: | 49 S. graph. Darst. |
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| id | DE-604.BV023591223 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:16Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906553 |
| oclc_num | 57569636 |
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| physical | 49 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Ferson, Wayne E. 1951- Verfasser (DE-588)129543950 aut Mimicking portfolios with conditioning information Wayne E. Ferson ; Andrew F. Siegel ; Pisun (Tracy) Xu Cambridge, Mass. National Bureau of Economic Research 2005 49 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11020 "Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama, 1996) with conditional and unconditional mean variance efficiency (Hansen and Richard (1987), Ferson and Siegel, 2001). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application"--National Bureau of Economic Research web site. Ökonometrisches Modell Stocks Econometric models Siegel, Andrew F. 1950- Verfasser (DE-588)129753777 aut Xu, Pisun Verfasser (DE-588)129712388 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11020 (DE-604)BV002801238 11020 http://papers.nber.org/papers/w11020.pdf kostenfrei Volltext |
| spellingShingle | Ferson, Wayne E. 1951- Siegel, Andrew F. 1950- Xu, Pisun Mimicking portfolios with conditioning information National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Stocks Econometric models |
| title | Mimicking portfolios with conditioning information |
| title_auth | Mimicking portfolios with conditioning information |
| title_exact_search | Mimicking portfolios with conditioning information |
| title_full | Mimicking portfolios with conditioning information Wayne E. Ferson ; Andrew F. Siegel ; Pisun (Tracy) Xu |
| title_fullStr | Mimicking portfolios with conditioning information Wayne E. Ferson ; Andrew F. Siegel ; Pisun (Tracy) Xu |
| title_full_unstemmed | Mimicking portfolios with conditioning information Wayne E. Ferson ; Andrew F. Siegel ; Pisun (Tracy) Xu |
| title_short | Mimicking portfolios with conditioning information |
| title_sort | mimicking portfolios with conditioning information |
| topic | Ökonometrisches Modell Stocks Econometric models |
| topic_facet | Ökonometrisches Modell Stocks Econometric models |
| url | http://papers.nber.org/papers/w11020.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT fersonwaynee mimickingportfolioswithconditioninginformation AT siegelandrewf mimickingportfolioswithconditioninginformation AT xupisun mimickingportfolioswithconditioninginformation |