Journal Article

Asset Pricing Through the Lens of the Hansen-Jagannathan Bound

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;

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Bibliographic Information

Provider: Federal Reserve Bank of St. Louis

Part of Series: Review

Publication Date: 2020-07

Volume: 102

Issue: 3

Pages: 255-269