The Efficient Use of Conditioning Information in Portfolios  

Oleh:

Ferson, Wayne E. ; Siegel, Andrew F.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 967-982.
Topik: PORTFOLIOS; studies; protfolio management; investment policy; efficiency; risk
Fulltext: p 967.pdf (159.68KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The properties of unconditional minimum-variance portfolios in the presence of conditioning information are studied. Such portfolios attain the smallest variance for a given mean among all possible portfolios formed using the conditioning information. Explicit solutions for n risky assets is provided, either with or without a riskless asset. Solutions provide insights into portfolio management problems and issues in conditional asset pricing.

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