Prof Jens Jackwerth (University of Konstanz, Germany)

Colloquium
22 June 2026
Neelsie Cinema, Stellenbosch University
en

Boosting the Predictability of the Market Risk Premium

The market risk premium is an essential quantity, yet hard to estimate. Limiting correlations between the pricing kernel and market returns to the interval [-1, 0] informs on the risk premium.
Quantitative Finance