This paper evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe. Motivated by the dynamic trading literature, we evaluate the performance of eight conditioned information portfolios against an...

A key result of the capital asset pricing model (CAPM) is that the market portfolio--the portfolio of all assets in which each asset's weight is proportional to its total market capitalization--lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance...

We derive empirical tests for the mean-variance efficiency of a given portfolio. The tests can be computed using straightforward linear programming, and they give substantial flexibility in modeling the investment possibilities. Using this test, we can reject the hypothesis that the S&P 500...

Some suppliers of broilers without giblets (WOG) offer customers a choice between paying Urner Barry's WOG quote or a formula price based on futures prices. From a buyer's perspective, the formula price examined in this study is second-degree stochastic dominant. The formula price allows the...

We derive empirical tests for the mean-variance efficiency of a given portfolio. The tests can be computed using straightforward linear programming, and they give substantial flexibility in modeling the investment possibilities. Using this test, we can reject the hypothesis that the S&P 500...