EconPapers    
Economics at your fingertips  
 

Duality in Mean-Variance Frontiers with Conditioning Information

Francisco Peñaranda and Enrique Sentana

Working Papers from CEMFI

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.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.cemfi.es/ftp/wp/0715.pdf (application/pdf)

Related works:
Journal Article: Duality in mean-variance frontiers with conditioning information (2016) Downloads
Working Paper: Duality in Mean-Variance Frontiers with Conditioning Information (2007) Downloads
Working Paper: Duality in mean-variance frontiers with conditioning information (2007) Downloads
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:cmf:wpaper:wp2007_0715

Access Statistics for this paper

More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().

 
Page updated 2025-03-30
Handle: RePEc:cmf:wpaper:wp2007_0715