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- W3121830448 abstract "We develop asset pricing models’ implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio efficiency by using the given conditioning information optimally. The optimal use of the lagged variables is economically important; by using the instruments optimally, we reject several efficiency hypotheses that are not otherwise rejected. The Sharpe ratios of a sample of hedge fund indexes appear consistent with the optimal use of conditioning information." @default.
- W3121830448 created "2021-02-01" @default.
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- W3121830448 date "2009-01-12" @default.
- W3121830448 modified "2023-09-25" @default.
- W3121830448 title "Testing Portfolio Efficiency with Conditioning Information" @default.
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- W3121830448 doi "https://doi.org/10.1093/rfs/hhn112" @default.
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