This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

the aggregate risk, i.e., that have a larger income elasticity of net benefits. In theory, this is done by adjusting …Because of risk aversion, any sensible investment valuation system should value less Projects that contribute more to … public and private institutions and people use a discount rate that is rather insensitive to the risk profile of their …