can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two … in each period. -- Consumption and labor taxation ; equivalence ; risk …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially … fair price for low risk types provides full insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …

This article deals with the integration of taxes into real option-based investment models under risk neutrality and … risk averison. It compares the possible approaches dynamic programming and contingent claims analysis to analyze their …, dynamic programming and contingent claims analysis yield identical investment thresholds under risk neutrality. In contrast …