Hansen–Jagannathan bound

Edit links
From Wikipedia, the free encyclopedia

This is an old revision of this page, as edited by 134.34.70.163 (talk) at 10:01, 7 December 2015 (→‎References). The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

Hansen–Jagannathan bound is a theorem in financial economics that says that the ratio of the standard deviation of a stochastic discount factor to its mean exceeds the Sharpe Ratio attained by any portfolio. This result is an application of the Cauchy–Schwarz inequality.

References

  • Hansen, Lars Peter; Jagannathan, Ravi (1991). "Implications of Security Market Data for Models of Dynamic Economies". Journal of Political Economy. 99 (2): 225–262. doi:10.1086/261749.
  • Otrok, C., Ravikumar, B., Whiteman C.H. (2002). "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation". Journal of Applied Econometrics. 17 (2): 149–174. doi:10.1002/jae.640.{{cite journal}}: CS1 maint: multiple names: authors list (link)

External links


Stub icon

This finance-related article is a stub. You can help Wikipedia by expanding it.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Hansen–Jagannathan_bound&oldid=694140169"