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Mean–Variance Frontier

In: Advanced Finance Theories

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  • Ser-Huang Poon

Abstract

In this chapter, we re-visit the derivation of the mean–variance frontier following Cochrane’s (2005), Chapter 5, and show how the theorems are used to derive the Hansen–Jagannathan bounds.

Suggested Citation

  • Ser-Huang Poon, 2018. "Mean–Variance Frontier," World Scientific Book Chapters, in: Advanced Finance Theories, chapter 6, pages 83-94, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814460385_0006
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    More about this item

    Keywords

    Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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