Ravi Jagannathan

Overview

Ravi Jagannathan is a financial economist (Kellogg School of Management, Northwestern University) known for work on asset pricing, the stochastic discount factor, and portfolio choice — including the Hansen-Jagannathan bound and distance for evaluating asset-pricing models.

Key Contributions / Features

• GJR-GARCH (Glosten-Jagannathan-Runkle 1993): co-developed the asymmetric GARCH-in-mean model and documented the negative conditional risk-return relation (GARCH, Risk-Return Tradeoff).
• Hansen-Jagannathan bound / distance: volatility bounds on the stochastic discount factor and a model-misspecification metric.
• Work on the conditional CAPM, covariance-matrix estimation for portfolios, and empirical asset pricing.

Related

• GARCH and BEKK-GARCH
• Risk-Return Tradeoff
• Lawrence R. Glosten
• David E. Runkle
• Glosten-Jagannathan-Runkle (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks