Recovering the market risk premium from higher‐order moment risks
提出一种估计市场风险溢价的一致方法，通过定义最宽泛的先验估计量集合并优化参数化，发现纳入高阶矩风险溢价能提高估计精度，即使代表性代理人不是幂效用优化者时也适用。
Abstract 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.