References in periodicals archive ?
While the normality assumption is restrictive, it allows us to (1) understand the determinants of the difference between the unconstrained and constrained HJ-bounds, (2) establish a connection between the minimum-variance frontier and the constrained HJ-bound; and (3) conduct finite sample inference on the sample HJ-bounds.
N] are the three efficiency set constants that characterize the minimum-variance frontier of the N risky assets.
Hansen and Jagannathan (1991) provide a linkage between the minimum-variance frontier and the unconstrained HJ-bound.
can be obtained from the point where the circle is tangent to the minimum-variance frontier of the risk-free and risky assets.