Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average … substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders%u2019 capital equal to … underpriced. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through …

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

Can public insurance through redistributive income taxation improve the allocation of risk in an economy in which … private risk sharing is limited? The answer depends crucially on the fundamental friction that limits private risk sharing in … the first place. If risk sharing is incomplete because some insurance markets are missing for model-exogenous reasons (as …

idiosyncratic entrepreneurial risk-- a risk that introduces, not only a precautionary motive for saving, but also a wedge between …

agents in the model are not very risk averse, the model predicts a sizable equity premium and a low riskfree rate. By …

This paper studies the aggregate implications of imperfect risk-sharing implied by a class of New Keynesian models with … idiosyncratic income risk and incomplete financial markets. The models in this class can be equivalently represented as an economy … representative-agent economy to perform counterfactuals. We find that deviations from perfect risk-sharing were an important …

the most important sources of individual risk and cross-sectional heterogeneity? Second, what are individuals' key … channels of insurance? Third, how does idiosyncratic risk interact with aggregate risk? …

In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum …