Duality in mean-variance frontiers with conditioning information

Francisco Peñaranda and Enrique Sentana

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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.

Keywords: Asset Pricing; Dynamic Portfolio Strategies; Representing portfolios; Stochastic Discount Factors (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2007-10
New Economics Papers: this item is included in nep-cfn
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://econ-papers.upf.edu/papers/1058.pdf Whole Paper (application/pdf)

Related works:
Journal Article: Duality in mean-variance frontiers with conditioning information (2016)
Working Paper: Duality in Mean-Variance Frontiers with Conditioning Information (2007)
Working Paper: Duality in Mean-Variance Frontiers with Conditioning Information (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1058

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).