A Note on the Hansen-Jagannathan Volatility Bounds

Hansen/Jagannathan (1991) show how to use security market data to restrict the admissible region for means and standards deviations of intertemporal marginal rates of substitution of consumers. They als characterise the duality betwenn the mean-standard deviation frontier for valid stochastic discount factors and the traditional efficient frontier for asset returns. The intend if thsi paper, however, is to critically review this often propsed duality. On the one hand, emphasising ...