Risk Premia and Variance Bounds
推导了一个比Hansen和Jagannathan（1991）更严格的方差界，并应用于代表性消费者的幂效用核，发现消费风险溢价加剧了Mehra和Prescott（1985）的“股权溢价之谜”。
ABSTRACT 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, we derive a variance bound that is more stringent than that of Hansen and Jagannathan (1991) . When we apply our bound to the kernel of a representative consumer with power utility, we find that the consumption risk premium increases the severity of the “equity‐premium puzzle” of Mehra and Prescott (1985) .