Remarks on Unconditional and Conditional Mean-Variance Frontiers

Abstract

This paper review the fundamental results of unconditional and conditional Mean-Variance frontiers by Hansen and Richard (1987) and Shi (2011). We convert the result of unconditional Mean-Variance frontier by Shi (2011) to the form of Hansen and Richard (1987) so that readers are easier to understand their coherence. Some equalities and remarks are also presented.