Recovering the market risk premium from higher‐order moment risks
| Autor: | Leonidas S. Rompolis, George Chalamandaris |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
040101 forestry
Estimation 050208 finance Ex-ante Computer science Market portfolio Risk premium 05 social sciences Estimator 04 agricultural and veterinary sciences Representative agent Moment (mathematics) Order (exchange) Accounting 0502 economics and business Econometrics 0401 agriculture forestry and fisheries General Economics Econometrics and Finance |
| Zdroj: | European Financial Management. 27:147-186 |
| ISSN: | 1468-036X 1354-7798 |
| DOI: | 10.1111/eufm.12287 |
| Popis: | We propose a consistent approach for the estimation of the market risk premium. As a first step, we define the broadest possible set of ex ante estimators from the viewpoint of a power utility optimiser holding the market portfolio. We then employ an evaluation framework to optimise the parametrisation of the methodology. We show that this theoretical framework can still produce reasonable market risk premium estimates, even when the representative agent is not a power utility optimiser. Our results show that the inclusion of higher‐order moment risk premia improves the accuracy of the method. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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