Testing Portfolio Efficiency with Conditioning Information
收藏NBER2006-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w12098
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资源简介：
We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our
提供机构：
美国国家经济研究局
创建时间：
2006-03-01
