Understanding Portfolio Efficiency with Conditioning Information
当收益率可预测时，提出了两种新的投资组合效率类型，分别最大化无条件夏普比率和条件均值方差偏好，并用股票数据检验了它们与无条件及固定权重效率的差异，对条件资产定价模型测试有参考价值。
Abstract I develop two new types of portfolio efficiency when returns are predictable. The first type maximizes the unconditional Sharpe ratio of excess returns and differs from unconditional efficiency unless the safe asset return is constant over time. The second type maximizes conditional mean-variance preferences and differs from unconditional efficiency unless, additionally, the maximum conditional Sharpe ratio is constant. Using stock data, I quantify and test their performance differences with respect to unconditionally and fixed-weight efficient returns. I also show the relevance of the two new portfolio strategies to test conditional asset pricing models.