Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70721
Authors: 
Kan, Raymond
Robotti, Cesare
Year of Publication: 
2008
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2008-9
Abstract: 
Under the assumption of multivariate normality of asset returns, this paper presents a geometrical interpretation and the finite-sample distributions of the sample Hansen-Jagannathan (1991) bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen-Jagannathan bounds can be very volatile, we propose a simple method to construct confidence intervals for the population Hansen-Jagannathan bounds. Finally, we show that the analytical results in the paper are robust to departures from the normality assumption.
Subjects: 
Hansen-Jagannathan bound
exact distribution
no-arbitrage
JEL: 
G12
Document Type: 
Working Paper

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