Journal of Finance Vol. 56 No. 3 2001
The Efficient Use of Conditioning Information in Portfolios
Abstract
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.
- DOI
- 10.1111/0022-1082.00351
- Volume
- 56
- Issue
- 3
- Pages
- 967-982
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref