Asset Pricing Through the Lens of the Hansen-Jagannathan Bound

16 Pages Posted: 19 Aug 2020

See all articles by Chris Otrok

Chris Otrok

University of Missouri; Federal Reserve Banks - Federal Reserve Bank of St. Louis

B. Ravikumar

Federal Reserve Bank of Saint Louis

Date Written: July, 2020

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 Classification: G1, C15, E44

Suggested Citation

Otrok, Christopher and Ravikumar, B., Asset Pricing Through the Lens of the Hansen-Jagannathan Bound (July, 2020). Available at SSRN: https://ssrn.com/abstract=3676540 or http://dx.doi.org/10.20955/r.102.255-69

Christopher Otrok (Contact Author)

University of Missouri ( email )

118 Professional Building
Columbia, MO 65211
United States

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

B. Ravikumar

Federal Reserve Bank of Saint Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

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