• Corpus ID: 220920178

The Hansen ratio in mean--variance portfolio theory

@inproceedings{vCerny2020TheHR,
  title={The Hansen ratio in mean--variance portfolio theory},
  author={Alevs vCern'y},
  year={2020}
}

• Alevs vCern'y
• Published 31 July 2020
• Economics

It is shown that the ratio between the mean and the L–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.