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http://hdl.handle.net/10419/56366
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| Title: | | A new approach to the derivation of asset price bounds  |
| Authors: | | Longarela, Iñaki R. |
| Issue Date: | | 2001 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 448 |
| Abstract: | | In a two-period setup we develop a generalization of good-deal bounds that allows to include in the problem the implications of asset pricing models. Our basis is the distance behind Hansen and Jagannathan's measure of model misspecification since a volatility constraint on the stochastic discount factor is a particular case of a restriction on this distance. We also present an alternative approach which mostly retains the economic interpretation underlying the above extension and it has a very useful property since the resulting bounds can be computed by simply solving a linear program. |
| Subjects: | | generalized good-deal bounds L1-norm methods |
| JEL: | | C63 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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