We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky …

investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities …

is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used … as collateral to relax financial constraints provides insurance against aggregate shocks and commands a lower risk …

investors, and hence, on equity risk premia and the liquidity premium. …

model is the significant wedge GDA drives between the physical and the risk-neutral measure. The model captures not only the … size of the variance risk premium (VRP), but also the hump-shaped predictability pattern and the prominent role of downside …

a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty … on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and …

This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … Monte Carlo study) that implausible estimates of risk aversion and time preference are not puzzling in this framework and …

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