The Efficient Use of Conditioning Information in Portfolios
研究了在存在条件信息时，无条件最小方差投资组合的性质，给出了含或不含无风险资产时n种风险资产的显式解，为投资组合管理和条件资产定价问题提供了洞见。
We 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. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing.