Download This PaperAsset Pricing Through the Lens of the Hansen-Jagannathan Bound
16 Pages Posted: 19 Aug 2020
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: Suggested Citation
Otrok, Christopher and Ravikumar, B. 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
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