Testing Portfolio Efficiency with Conditioning Information
نویسندگان
چکیده
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 framework refines previous tests of portfolio efficiency by using a given set of conditioning information optimally. The optimal use of the lagged variables is economically important. With standard portfolio designs and lagged instruments, 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.
منابع مشابه
Investigating the Role of Non-Financial Information Analysis and Risk- Return Analysis along with Financial Information in Increasing the Efficiency of the Stock Portfolio of Banks
The purpose of this study was to investigate the role of non-financial information analysis and risk-return analysis along with financial information in increasing the selected banks and financial institutions of Tehran Stock Exchange portfolio efficiency. To evaluate the efficiency of the portfolio, the Treynor's ratio was used and attempted to determine the Treynor's ratio of the selected opt...
متن کاملMimicking Portfolios with Conditioning Information
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. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate mul...
متن کاملRobustness and bootstrap approaches to SSD portfolio efficiency testing
This paper deals with portfolio efficiency testing with respect to second-order stochastic dominance (SSD) criteria. Unlike the pair-wise tests the portfolio efficiency tests allow for full diversification across the assets. As usual in SSD testing, the returns of assets are modeled by scenarios. We apply a computationally attractive method to test whether a US market portfolio, proxied by CRSP...
متن کاملOutperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process
This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...
متن کاملInformation Recall Deficit in the Novel Task after Treatment of Rats with Ethanol
Background and Objective: Identifying the details of the injurious effects of alcohol seems to be decisive in nowadays with growing abuse of the substance. This study mainly aimed to assess the adverse effects of ethanol on the recalling of information in the Wistar rats. Materials and Methods: Male Wistar rats (Pasteur Institute of Iran) were evaluated using the novelty seeking behavior based ...
متن کامل