On July 13, we held the 7th session of our monthly online seminar series “Asset Allocation and Asset Pricing under Regulatory Uncertainty”. This time the discussion moved from jump risk in portfolio choice to the challenge of measuring climate policy uncertainty from news.

Amelie Grull opened the session with “Portfolio Optimisation in Financial Markets with Jumps”, presenting work from her master thesis. Her talk looked at how the optimal asset allocation react when jump risk rises, supported by several numerical illustrations.

Lotta Rüter then presented “Developing a News-Based Index of Climate Policy Uncertainty”. She introduced a promising approach to measuring climate policy uncertainty more precisely, combining structured pre-filtering with newer LLM-based and embedding-based tools, with the broader goal of improving our understanding of variance risk premia.

Many thanks to both speakers for two excellent presentations and to everyone who joined the discussion. Another very enjoyable session — and a great reminder of how much energy and variety these project meetings continue to generate.