GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
We show that absence of arbitrage in frictionless markets implies a lower bound on the average of the logarithm of the reciprocal of the stochastic discount factor implicit in asset pricing models. The greatest lower bound for a given asset menu is the average continuously compounded return on its g...
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| Veröffentlicht in: | Macroeconomic dynamics 1997, Vol.1 (2), p.333-354 |
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| container_end_page | 354 |
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| container_title | Macroeconomic dynamics |
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| creator | BANSAL, RAVI LEHMANN, BRUCE N. |
| description | We show that absence of arbitrage in frictionless markets
implies a lower bound on the average of the logarithm of the
reciprocal of the stochastic discount factor implicit in
asset pricing models. The greatest lower bound
for a given asset menu is the average continuously compounded return on its
growth-optimal portfolio. We use this bound to evaluate the plausibility of
various parametric asset pricing models to characterize financial market
puzzles such as the equity premium puzzle and the risk-free rate
puzzle. We show that the insights offered by the growth-optimal bounds
differ substantially from those obtained by other
nonparametric bounds. |
| doi_str_mv | 10.1017/S1365100597003039 |
| format | Article |
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implies a lower bound on the average of the logarithm of the
reciprocal of the stochastic discount factor implicit in
asset pricing models. The greatest lower bound
for a given asset menu is the average continuously compounded return on its
growth-optimal portfolio. We use this bound to evaluate the plausibility of
various parametric asset pricing models to characterize financial market
puzzles such as the equity premium puzzle and the risk-free rate
puzzle. We show that the insights offered by the growth-optimal bounds
differ substantially from those obtained by other
nonparametric bounds.</description><identifier>ISSN: 1365-1005</identifier><identifier>EISSN: 1469-8056</identifier><identifier>DOI: 10.1017/S1365100597003039</identifier><language>eng</language><publisher>New York, USA: Cambridge University Press</publisher><ispartof>Macroeconomic dynamics, 1997, Vol.1 (2), p.333-354</ispartof><rights>1997 Cambridge University Press</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c312t-130358a04733fb38e2183ade0df03937194dd9767342034829ae2e790c793033</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.cambridge.org/core/product/identifier/S1365100597003039/type/journal_article$$EHTML$$P50$$Gcambridge$$H</linktohtml><link.rule.ids>164,314,780,784,4022,27922,27923,27924,55627</link.rule.ids></links><search><creatorcontrib>BANSAL, RAVI</creatorcontrib><creatorcontrib>LEHMANN, BRUCE N.</creatorcontrib><title>GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS</title><title>Macroeconomic dynamics</title><addtitle>Macroecon. Dynam</addtitle><description>We show that absence of arbitrage in frictionless markets
implies a lower bound on the average of the logarithm of the
reciprocal of the stochastic discount factor implicit in
asset pricing models. The greatest lower bound
for a given asset menu is the average continuously compounded return on its
growth-optimal portfolio. We use this bound to evaluate the plausibility of
various parametric asset pricing models to characterize financial market
puzzles such as the equity premium puzzle and the risk-free rate
puzzle. We show that the insights offered by the growth-optimal bounds
differ substantially from those obtained by other
nonparametric bounds.</description><issn>1365-1005</issn><issn>1469-8056</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1997</creationdate><recordtype>article</recordtype><recordid>eNp9j8FOg0AQhjdGE2v1AbzxAugMAyx78ECQUhLKEnYTj4TCYtpYaxY9-PZuY28mnmYyf77J9zN2j_CAgPxRIcURAkSCAxCQuGALDGPhJxDFl253sX_Kr9nNPO8BMKZALNhT0coXvfZlo8tNWnmNbPVKVqX02lzptsx0KWvlydpLlcq117hTWRfeRj7nlbplV1P_Npu781wyvcp1tvYrWZRZWvkDYfDpoxOKkh5CTjRtKTEBJtSPBsbJmRJHEY6j4DGnMAAKk0D0JjBcwMCFQ2nJ8PftYI_zbM3UfdjdobffHUJ3qt_9qe8YOjP9YWt346vp9scv--40_6F-AKdVVLo</recordid><startdate>1997</startdate><enddate>1997</enddate><creator>BANSAL, RAVI</creator><creator>LEHMANN, BRUCE N.</creator><general>Cambridge University Press</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>1997</creationdate><title>GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS</title><author>BANSAL, RAVI ; LEHMANN, BRUCE N.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c312t-130358a04733fb38e2183ade0df03937194dd9767342034829ae2e790c793033</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1997</creationdate><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>BANSAL, RAVI</creatorcontrib><creatorcontrib>LEHMANN, BRUCE N.</creatorcontrib><collection>CrossRef</collection><jtitle>Macroeconomic dynamics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>BANSAL, RAVI</au><au>LEHMANN, BRUCE N.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS</atitle><jtitle>Macroeconomic dynamics</jtitle><addtitle>Macroecon. Dynam</addtitle><date>1997</date><risdate>1997</risdate><volume>1</volume><issue>2</issue><spage>333</spage><epage>354</epage><pages>333-354</pages><issn>1365-1005</issn><eissn>1469-8056</eissn><abstract>We show that absence of arbitrage in frictionless markets
implies a lower bound on the average of the logarithm of the
reciprocal of the stochastic discount factor implicit in
asset pricing models. The greatest lower bound
for a given asset menu is the average continuously compounded return on its
growth-optimal portfolio. We use this bound to evaluate the plausibility of
various parametric asset pricing models to characterize financial market
puzzles such as the equity premium puzzle and the risk-free rate
puzzle. We show that the insights offered by the growth-optimal bounds
differ substantially from those obtained by other
nonparametric bounds.</abstract><cop>New York, USA</cop><pub>Cambridge University Press</pub><doi>10.1017/S1365100597003039</doi><tpages>22</tpages></addata></record> |
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| ispartof | Macroeconomic dynamics, 1997, Vol.1 (2), p.333-354 |
| issn | 1365-1005 1469-8056 |
| language | eng |
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| source | Cambridge University Press Journals Complete |
| title | GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS |
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