Mimicking Portfolios with Conditioning Information
推导了在存在预定状态变量（条件信息）时模拟投资组合的权重特征，推广了多因子最小方差效率与条件/无条件均值-方差效率，并通过实证例子说明时变权重的重要性及应用挑战。
Abstract Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama (1996)) with conditional and unconditional mean-variance efficiency (Hansen and Richard (1987), Ferson and Siegel (2001)). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application.