We show that a life-cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion … risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets and … consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk …

productivity shocks. Risk averse consumers can insure against these shocks by investing their wealth at home and abroad. The change … purposes than countries with dissimilar comparative advantages. Empirical evidence linking bilateral international investment … relative capital-labor ratios has a positive effect on the source country’s investment position in the host country. The effect …

assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …

standard correlation-based definition of neutrality. Variance neutrality, Value-at-Risk neutrality and tail neutrality all … relate to the neutrality of the risk of the hedge fund to market risks. Finally, complete neutrality. corresponds to … one-quarter of these funds exhibit some significant exposure to market risk. …

overestimate the return of their investment and underdiversify. In general equilibrium, agents' prior beliefs are endogenously …

economically and statistically significant negative impact on risk-adjusted returns of approximately 1-2 percentage points, holding … constant other relevant factors. The use of explicit limits on asset allocation can be a blunt instrument for regulating risk …-taking, in that they impede investment managers’ ability to exploit the benefits of portfolio diversification, and thus distort …

interest rates, and countercyclical market prices of risk when the elasticity of intertemporal substitution (EIS) is greater …

endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. We find …