Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56366
Authors: 
Longarela, Iñaki R.
Year of Publication: 
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

Files in This Item:
File
Size
218.31 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.