论文标题
汉森的比率平均值 - 差异投资组合理论
The Hansen ratio in mean--variance portfolio theory
论文作者
论文摘要
结果表明，平均值和$ l^2 $ norm之间的比率导致对平均方差有效边界的描述以及被称为Hansen-Jagannathan（HJ）边界的双定价内核限制。由于此比率以前尚未出现在经济理论中，因此将其命名为汉森（Hansen）的比例似乎是合适的。通过汉森比率对平均变量理论的初始处理沿两个方向扩展到单调均值变化偏好和任意希尔伯特空间设置。还讨论了带有IID返回的多个示例。
It 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.
