We provide a microeconomic analysis of the incentive and welfare effects of idiosyncratic return risk. While most of … rate separates savers from borrowers. At the intensive margin, we identify restrictions on the agent's risk preferences for …

investment's Value-at-Risk as a reasonable calculation of the worst threat an action appears to make possible, and its return … offer. In exploring the extension of the Value-at-Risk approach from applications to investments in financial assets to … applications to investments in real assets, the properties of Value-at-Risk as a risk measure are reviewed. Recognizing that Value-at-Risk …

-the-market-average benefits and performance by analyzing risk premiums and risk-adjusted excess returns of a portfolio of public firms in the … portfolio risk premiums are higher than the market risk premiums and to investigate if the portfolio can generate positive risk …-adjusted excess returns. The portfolio average risk premiums are all positive and economically greater than the market risk premiums …