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Author: | Ferson, W. E. Siegel, A. F. |
Title: | The efficient use of conditioning information in portfolios |
Journal: | Journal of Finance
2001 : JUN, VOL. 56:3, p. 967-982 |
Index terms: | Portfolio investment Asset valuation Financial risk |
Language: | eng |
Abstract: | The authors study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest variance for a given mean among all possible portfolios formed using the conditioning information. |
SCIMA