Hansen–Jagannathan bound
id:
hansen-jagannathan-bound-324-9374695
title:
Hansen–Jagannathan bound
text:
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 applies, among others, the Cauchy–Schwarz inequality. The Hansen-Jagannathan (H-J) bound is a type of mean-variance frontier. The main contribution is that it allows us to say something about moments of the stochastic discount factor, which is unobservable, in terms of moments of
brand slug:
wiki
category slug:
encyclopedia
description:
Theorem in financial economics
original url:
https://en.wikipedia.org/wiki/Hansen%E2%80%93Jagannathan_bound
date created:
date modified:
2023-05-03T12:37:28Z
main entity:
{"identifier":"Q16965577","url":"https://www.wikidata.org/entity/Q16965577"}
image:
fields total:
13
integrity:
14