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

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

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 …

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 …

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

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 …

featuring consumption externalities, recursive utility, and jump risk …

The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns … factors (SDFs) when they are misspecified and the covariance matrix of the asset returns with the risk factors has less than … with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject misspecified …