Asset Pricing Through the Lens of the Hansen-Jagannathan Bound

Christopher Otrok and B Ravikumar

Review, 2020, vol. 102, issue 3, 255-269

Abstract: Stochastic discount factor (SDF) models are the dominant framework for modern asset pricing. The Hansen-Jagannathan bound is a characterization of the admissible set of SDFs, given a vector of asset returns.

JEL-codes: C15 E44 G1 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlrv:88593

DOI: 10.20955/r.102.255-69

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