kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and … the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed … to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a … structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and …This paper uses Hansen and Jagannathan's (1991) volatility bounds to evaluate models with idiosyncratic consumption … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy … by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold … Uncertainty. This paper shows that most of the observed volatility in financial markets is generated by the beliefs of the agents …

to examine the risk - return trade-off in the term structure of interest rates before and after the introduction of the …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual's effective risk aversion. …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …