, then long-run risk generates insufficient exchange rate volatility. A longrun risk model with recursive-preferences in … long-run risk, recursive-preferences model in which only a small fraction of households trades in complete markets, while …

that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the … difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years … of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for …

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads … to equilibration, and that, in equilibrium, risk premia are solely determined by covariance with aggregate risk. We …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

In this paper, we study the determinants of the value of informal risk sharing groups. In particular, we look at the … if individuals can deviate form risk sharing agreements in coalitions or not. We test empirically several predictable … size of risk sharing groups can be rejected or that only imperfect risk sharing is obtained within the village because of …

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …