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...

We provide novel asymptotic tools for tests of asset pricing models and factor model comparisons when portfolios trade dynamically using lagged information. An Asymptotic Variance Lemma covers most of the tests in the literature that compare maximum squared Sharpe ratios. We develop...