• Corpus ID: 220920178

The Hansen ratio in mean--variance portfolio theory

  title={The Hansen ratio in mean--variance portfolio theory},
  author={Alevs vCern'y},
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… 



Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

  • A. Cerný
  • Economics, Mathematics
    SSRN Electronic Journal
  • 2019
We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui, Li, Wang and

On the Structure of General Mean-Variance Hedging Strategies

We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{\star}$ which turns the

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

This paper derives closed-form expressions for the optimal portfolios and efficient frontier in terms of the solution of the so-calledstochastic Riccati equation (SRE) associated with the quadratic hedging and mean-variance problems.


The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. The authors derive a general representation for asset prices that displays the role of

Implications of Security Market Data for Models of Dynamic Economies

We show how to use security market data to restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRSs) of consumers. Our approach (i) is

Hedging Derivative Securities and Incomplete Markets: An Formula-Arbitrage Approach

By applying stochastic dynamic programming to the minimization of a mean-squared error loss function under Markov-state dynamics, recursive expressions for the optimal-replication strategy are derived that are readily implemented in practice.

Mean-Variance Hedging When There Are Jumps

The results obtained show how backward stochastic differential equations can be used to obtain solutions to optimal investment and hedging problems when discontinuities in the underlying price processes are modeled by the arrivals of Poisson processes with Stochastic intensities.

Convex duality and Orlicz spaces in expected utility maximization

In this paper, we report further progress toward a complete theory of state‐independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any

Asset Pricing

This report focuses specifically on quantitative structural asset pricing models, and some of these models provided an important base for understanding financial institutions, frictions in financial markets, liquidity, investor heterogeneity, and the potential presence of investor irrationality in some markets.

Monotone and cash-invariant convex functions and hulls