| 释义 |
- References
- External links
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. References - {{cite journal|last1=Hansen|first1=Lars Peter|author1-link=Lars Peter Hansen|last2=Jagannathan|first2=Ravi|author2-link=Ravi Jagannathan|title=Implications of Security Market Data for Models of Dynamic Economies|journal=Journal of Political Economy|year=1991|volume=99|issue=2|doi=10.1086/261749|pages=225–262}}
- {{cite journal|doi=10.1002/jae.640|author=Otrok, C., Ravikumar, B., Whiteman C.H.|year=2002|title=Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation|url=|journal=Journal of Applied Econometrics|volume=17|issue=2|pages=149–174|citeseerx=10.1.1.15.6332}}
External links- Hansen and Jagannathan bounds
{{DEFAULTSORT:Hansen-Jagannathan bound}}{{finance-stub}} 2 : Financial ratios|Statistical ratios |