The Hansen ratio in mean--variance portfolio theory

• Tác giả: Aleš Černý
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164948

Tóm tắt

Comment: 11 pagesIt is shown that the ratio between the mean and the $L^2$-norm leads to a particularly parsimonious description of the mean-variance efficient frontier and the dual pricing kernel restrictions known as the Hansen-Jagannathan (HJ) bounds. Because this ratio has not appeared in economic theory previously, it seems appropriate to name it the Hansen ratio. The initial treatment of the mean-variance theory via the Hansen ratio is extended in two directions, to monotone mean-variance preferences and to arbitrary Hilbert space setting. A multiperiod example with IID returns is also discussed.