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 develop asset pricing models' implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio...

We provide asymptotic standard errors for tests of asset pricing models and factor model comparisons with dynamic trading using conditioning information in the form of lagged instruments. The tests are based on comparing squared Sharpe ratios or their normalized differences. We provide results...