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  • Harrison-Kreps: state prices and the stochastic discount factor
  • The Hansen-Jagannathan bound
  • The stochastic discount factor

The stochastic discount factor#

No arbitrage as the existence of positive state prices, and the volatility a discount factor needs to price the assets.

Harrison-Kreps: state prices and the stochastic discount factor

Harrison-Kreps: state prices and the stochastic discount factor

The Hansen-Jagannathan bound

The Hansen-Jagannathan bound
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