• Media type: E-Book
  • Title: The Hansen Ratio in Mean-Variance Portfolio Theory
  • Contributor: Černý, Aleš [Author]
  • imprint: [S.l.]: SSRN, [2020]
  • Published in: Arxiv preprint 2007.15980
  • Extent: 1 Online-Ressource (11 p)
  • Language: English
  • DOI: 10.2139/ssrn.3664641
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 31, 2020 erstellt
  • Description: It is shown that the ratio between the mean and the L2-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 multi-period example with IID returns is also discussed
  • Access State: Open Access