Was the increase in income inequality in the US due to permanent shocks or merely to an increase in the variance of … repeated cross-section data on consumption and income to decompose idiosyncratic changes in income into predictable life … evolution of consumption and income inequality well and delivers two main results. First, we find that permanent changes in …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and … analyze the global market. In this paper, we provide a novel approach for measuring market risk called Encoded Value-at-Risk …

Uninsurable income risk is often cited as an explanation for empirical deviations from the Lifecycle/Permanent-Income … using a calibrated income process that matches the results in Feigenbaum and Li (2008). In that paper they measure income … uncertainty as the variance of income forecasting errors at different ages and over different time horizons. Here we show that …

risk, is attributed to the loss in utility due to being led to hunt for an inappropriate portfolio. We quantify the utility …