payoffs, our model provides a novel and unified account of many empirical phenomena, including frequent risk-seeking behavior …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

We study a dynamic-contracting problem involving risk sharing between two parties -- the Proposer and the Responder … wealth in the risky asset, but they can share the underlying investment and termination risk. When the project ends they … consume their final accumulated wealth. The Proposer and the Responder have constant relative risk aversion R and r …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

arises from a mixture of idiosyncratic risk and fixed (or predictable) heterogeneity, making the two challenging to …

featuring consumption externalities, recursive utility, and jump risk …

life-cycle model for agricultural producers facing output and output price risk, with investment in an off …-farm, conditionally risk free asset, risky financial assets, savings, consumption, and agricultural production opportunities. This …