We study the optimal taxation of risk-free and excess capital income with heterogeneous rates of return, alongside an … optimal nonlinear earnings tax. Households can hold three assets: one risk-free, one risky but diversifiable, and one a … private investment with idiosyncratic risk whose expected return differs among households. Contrary to expectations, the …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is … risk factor retains its incremental explanatory power when compared to other conditional models such as the conditional …

The term "information risk" or "information uncertainty" is defined as the risk of a misleading signal. This risk is …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

risk-averse investor, the second-degree expectation dependence (SED) is required to account for the downside risk faced by … realistically match equity premia, risk-free rates, and variance risk premia. The consumption SED risk emerges as a fundamental …

risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework … asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …