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Home | Events Archive | Bounds of the Market Risk Premium
Seminar

Bounds of the Market Risk Premium

  • Location
    Erasmus University Rotterdam, Campus Woudestein, ET-14
    Rotterdam
  • Date and time

    May 19, 2025
    12:00 - 13:00

Abstract The market risk premium is an essential quantity that is very hard to estimate. Bounds have been tried to nail down the risk premium (Hansen and Jagannathan 1991 and lately Martin 2017). These bounds bound correlations (empirically close to -1) against zero. Our proposal is to bound correlations against each other, resulting in much tighter bounds. Empirically, these bounds work well on particular days. The older bounds do not work well at all.