Balduzzi, Pierluigi; Kallal, Hedi - In: Journal of Finance 52 (1997) 5, pp. 1913-49
If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum-variance kernel. Based on this intuition, the authors derive a variance bound that is more...