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.

中文翻译：

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从高阶矩风险中恢复市场风险溢价

我们提出了一种一致的方法来估计市场风险溢价。作为第一步，我们将从拥有市场组合的电力公司优化器的角度定义尽可能广泛的事前估计量。然后，我们采用评估框架来优化方法的参数化。我们证明，即使代表代理不是电力公司的优化者，该理论框架仍然可以产生合理的市场风险溢价估算。我们的结果表明，包含较高阶矩风险溢价可提高该方法的准确性。