We examine an important aspect of empirical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real-world or simulated data implicitly incorporates conditioning information. We examine the bias created, in estimating the...

In this paper we investigate the empirical performance of unconditionally efficient portfolios strategies for a number of commonly used predictive variables. These strategies, which optimally utilize asset return predictability in portfolio formation were studied by Hansen and Richard (1987) and...

In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the...

In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the Hilbert space framework of Hansen and Richard (1987) to obtain new characterizations of the efficient portfolio frontier...