C - Mathematical and Quantitative Methods - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feeds
en
2024-03-28T11:26:07+00:00
-
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
https://www.bankofcanada.ca/2005/02/working-paper-2005-2/
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
2005-02-01T10:48:46+00:00
en
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
2005-02-01
Financial markets
Market structure and pricing
Working Paper 2005-2
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-2.pdf
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Fousseni Chabi-Yo
René Garcia
Eric Renault
February 2005
C
C6
C61
G
G1
G11
G12