Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
that incorporates a no-arbitrage constraint. We show that for stochastic discount factors (SDF) that are spanned by the … returns, we derive explicit solutions for the HJ distance with a no-arbitrage constraint, the associated Lagrange multipliers … limiting theory for estimation, testing, and comparison of SDFs using the HJ distance with a no-arbitrage constraint. …