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Wednesday, July 15, 2020 | History

4 edition of Mimicking portfolios with conditioning information found in the catalog.

Mimicking portfolios with conditioning information

Wayne E. Ferson

Mimicking portfolios with conditioning information

by Wayne E. Ferson

  • 216 Want to read
  • 16 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Capital assets pricing model.,
  • Portfolio management -- Mathematical models.

  • Edition Notes

    StatementWayne E. Ferson, Andrew F. Siegel, Pisun (Tracy) Xu.
    SeriesNBER working paper series ;, working paper 11020, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 11020.
    ContributionsSiegel, Andrew F., Xu, Pisun, National Bureau of Economic Research.
    Classifications
    LC ClassificationsHB1
    The Physical Object
    FormatElectronic resource
    ID Numbers
    Open LibraryOL3476652M
    LC Control Number2005616181

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Mimicking portfolios with conditioning information by Wayne E. Ferson Download PDF EPUB FB2

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, ) with conditional and unconditional mean variance efficiency (Hansen and Richard (), Ferson and Siegel, ).Cited by: 3.

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, ) with conditional and unconditional mean variance efficiency (Hansen and Richard (), Ferson and Siegel, ).

Ferson et al. () studied mimicking portfolios with time-varying weights in the presence of conditioning information. Using the same data as Lamont, they showed that using conditioning. This paper derives and characterizes mimicking portfolios in the presence of predetermined Mimicking portfolios with conditioning information book variables, or conditioning information.

The results generalize and integrate multifactor minimum variance efficiency (Fama ()) with conditional and unconditional mean-variance efficiency (Hansen and Richard (), Ferson and Siegel ()).Cited by: Mimicking portfolios with conditioning information may be characterized with an extension of “unconditional” mean variance efficiency, as described by Hansen and Richard () and Ferson and Siegel ().

The portfolios they describe use conditioning information to achieve efficiency with respect to the unconditional mean and variance.

Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link). Understanding Portfolio Efficiency with Conditioning Information - Volume 51 Issue 3 - Francisco Peñaranda.

Skip to main content Accessibility help We use cookies to distinguish you from other users and to provide you with a better experience on our websites. “Mimicking Portfolios with Conditioning Information.”. The out-of-sample performance of our portfolios can produce information ratios of – over the composite indices, and information ratios of – over the style indices, with the.

"Mimicking Portfolios with Conditioning Information," NBER Working PapersNational Bureau of Economic Research, Inc. Dybvig, Philip H & Ross, Stephen A, "Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol.

40(2), pagesJune. for building mimicking portfolios based on the macroeconomic variables). In addition, a mimicking portfolio may represent an unobservable factor when the stock sensitivities to the factor are believed to be disclosed by some firm characteristics.

A well-known example of this case is in the Fama and French (), where the. Mimicking Portfolios with Conditioning Information Wayne Ferson, Andrew F. Siegel, and Pisun (Tracy) Xu* 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.

To order reprints of this article, please contact David Rowe at drowe{at} or Mimicking portfolios have many applications in the practice of finance.

A new method for constructing them is presented in this article. The authors illustrate its application by creating portfolios that mimic individual NYSE stocks. Deciles 1 and 10 are further subdivided into thirds on the same measure.

VWRF is the excess return on the CRSP value‐weight market proxy. RMRF, SMB, and HML are Fanta and French's () market proxy and factor‐mimicking portfolios for size and book‐to‐market equity. PR1YR is a factor‐mimicking portfolio for one‐year return momentum.

25 Portfolios Formed on Book-to-Market and Investment (5 x 5) TXT CSV Details 25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [ex. Dividends] TXT CSV Details 25 Portfolios Formed on Book-to-Market and Investment (5 x 5) [Daily] TXT CSV Details 25 Portfolios Formed on Operating Profitability and Investment (5 x 5) TXT CSV Details.

a market portfolio of stocks and mimicking portfolios for the size. book- to-market, and term-structure factors in returns. The returns to be explained are for government bond portfolios in two maturity ranges, corporate bond port- folios in five rating groups, and 25 stock portfolios formed on the basis of size.

Mimicking portfolios of macroeconomic factors are commonly constructed by pro-jecting these factors on a set of base assets.

Current understanding is that compared to macroeconomic factors, their mimicking portfolios contain more relevant information and less noise for asset pricing.

In this paper, we show that when factors are in fact. Last Update: 31 July The Ray Dalio All Weather Portfolio is exposed for 30% on the Stock Market and for 15% on Commodities.

It's a Medium Risk portfolio and it can be replicated with 5 ETFs. In the last 10 years, the portfolio obtained a % compound annual return, with a % standard deviation. Inthe portfolio granted a % dividend yield.

Book Review. This best portfolio management book is not only a conglomeration of insights about how to multiply your return, but it is also the combination of great insights into finance, strategy, asset allocation, investment, and s who have read through this book not only recommended this book to every finance students, they also mentioned that this book is a must-read.

The Fama/French factors are constructed using the 6 value-weight portfolios formed on size and book-to-market. (See the description of the 6 size/book-to-market portfolios.) SMB (Small Minus Big) is the average return on the three small portfolios minus the average return on the three big portfolios.

Investment portfolios – or, in plain English, collections of assets – can diminish the risk inherent in stock markets by diversification or avoiding having too many eggs in one basket. Pretty good explanation is in Schweser CFA Study Notes for CFA level III. Books 3 and 5, at least fromif I remember right.

See also Tsay R.S. Analysis of Financial Time Series (Wiley Series in Probability and Statistics). // - good example with implementation in R.This paper studies models in which active portfolio managers utilize conditioning information unavailable to their clients to optimize performance relative to a benchmark.

We derive explicit solutions for the optimal strategies with multiple risky assets, with or without a risk-free asset, and consider various constraints on portfolio risks or.A burnishing is a light surface etching on the material that does not reveal the black core.

This material is ideal for larger shapes and letters that are no too intricate when being engraved. This material is used for creating our custom portfolio book products and can be engraved, burnished, UV printed, and cut-out.

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