Asset Pricing Through the Lens of the Hansen-Jagannathan Bound
16 Pages Posted: 19 Aug 2020
Date Written: July, 2020
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 Classification: G1, C15, E44
Suggested Citation: Suggested Citation