Mean–Variance Frontier

Ser-Huang Poon

Chapter 6 in Advanced Finance Theories, 2018, pp 83-94 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
Date: 2018
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