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 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...