Abstract
This paper proposes a natural extension of the classical (Hansen and Jagannathan, 1991, 1997) for performance evaluation of asset pricing models. Our new distance captures misspecification of asset pricing models in terms of arbitrary moments of the stochastic discount factors, as opposed to the Hansen–Jagannathan distance which focuses only on the second moment. The relationship between the new distance and the pricing error is established. A key representation of the new distance is obtained by solving the conjugate problem explicitly.
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