About: Hansen–Jagannathan bound

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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 returns, which can be (in principle) observed. Specifically, given the observed Sharpe ratio (say, around 0.4), the bound tells us that the SDF must be at least just as volatile.

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  • 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 returns, which can be (in principle) observed. Specifically, given the observed Sharpe ratio (say, around 0.4), the bound tells us that the SDF must be at least just as volatile. (en)
  • ハンセン–ジャガナサン境界（ハンセン–ジャガナサンきょうかい、英: Hansen–Jagannathan bound）とは、金融経済学とマクロ経済学において金融資産の資産価格モデルにおける確率的割引ファクター（英: stochastic discount factor）の分散の下限を決定する理論である。1991年にラース・ハンセンとにより発表された。一般的な資産価格モデルのほとんどに適用可能なため、資産価格モデルの妥当性を確かめるために用いられる。 (ja)
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  • 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 returns, which can be (in principle) observed. Specifically, given the observed Sharpe ratio (say, around 0.4), the bound tells us that the SDF must be at least just as volatile. (en)
  • ハンセン–ジャガナサン境界（ハンセン–ジャガナサンきょうかい、英: Hansen–Jagannathan bound）とは、金融経済学とマクロ経済学において金融資産の資産価格モデルにおける確率的割引ファクター（英: stochastic discount factor）の分散の下限を決定する理論である。1991年にラース・ハンセンとにより発表された。一般的な資産価格モデルのほとんどに適用可能なため、資産価格モデルの妥当性を確かめるために用いられる。 (ja)
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  • Hansen–Jagannathan bound (en)
  • ハンセン–ジャガナサン境界 (ja)
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