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Duality in Mean-Variance Frontiers with Conditioning Information

Authors: Peñaranda, Francisco; Sentana, Enrique;

Duality in Mean-Variance Frontiers with Conditioning Information

Abstract

Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the unconditional portfolio frontier in Hansen and Richard (1987) is not dual to the unconditional SDF frontier in Gallant, Hansen and Tauchen (1990). We characterise the dual objects to those frontiers, and relate them to the frontiers generated with managed portfolios, which are commonly used in empirical work. We also study the implications of a safe asset and other special cases.

Country
Spain
Keywords

Asset Pricing; Dynamic Portfolio Strategies; Representing portfolios; Stochastic Discount Factors, Asset pricing, dynamic portfolio strategies, representing portfolios, stochastic discount factors., Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors, dynamic portfolio strategies, stochastic discount factors, Finance and Accounting, asset pricing, representing portfolios, jel: jel:G12, jel: jel:G11

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Average
Average
Average
Green
hybrid