Project Kickoff
Implied Risk Premia for Factors - Bantleon InnoCheck 2025
4
Charts
10
Slides
Project Overview
Research Goal
Develop implied risk premia estimation for factor models, extending Bantleon's framework beyond single-factor CAPM to multi-factor settings.
Key Innovation
Bridge theory-practice gap with lambda calibration methods (M1: market-based, M2: historical) and R-squared-based hybrid blending.
Deliverables
Python/R implementation (BRISMA), 69-page academic paper, interactive visualizations, and production-ready codebase.
Kickoff Charts
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Current State Analysis
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Gap Analysis: Lambda Methods
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Gap Analysis: Factor Models
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Project Roadmap
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