SSE/EFI Working Paper Series in Economics and Finance
Iņaki R. Longarela
An Extension of Good-Deal Asset Price Bounds
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.
Keywords: generalized good-deal bounds; L1-norm methods; (follow links to similar papers)
JEL-Codes: C63; G12; (follow links to similar papers)
20 pages, May 21, 2001, Revised October 19, 2001
The previous version of this working paper had the title "A New Approach to the Derivation of Asset Price Bounds".
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom