Similar Search Results

Risk aversion heterogeneity, risky jobs and wealth inequality

Cozzi, Marco - 2011

This paper considers the macroeconomic implications of a set of empirical studies finding a high degree of dispersion in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion heterogeneity to quantify their effects on wealth inequality....

Persistent link: https://www.econbiz.de/10009683671

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

On risk induced by technical change

Ünveren, Burak - In: International journal of business and economic sciences … 10 (2017) 1, pp. 42-48

Purpose: The purpose of this paper is to analyze the efficiency loss due to incomplete financial markets when risk is induced by technological uncertainty. Design/methodology/approach: A worker-capitalist general equilibrium model is developed. It is assumed that future technical change is a...

Persistent link: https://www.econbiz.de/10011649413

Approximating equilibria with ex-post heterogeneity and aggregate risk

Pröhl, Elisabeth - 2017

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...

Persistent link: https://www.econbiz.de/10011875645

The Krusell-Smith algorithm : are self-fulfilling equilibria likely?

Cozzi, Marco - 2014

I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate uncertainty and incomplete markets is likely to be subject to multiple self-fulfilling equilibria. In a benchmark economy, the parameters representing the equilibrium aggregate...

Persistent link: https://www.econbiz.de/10010348847

Global economic impacts of climate shocks, climate policy and changes in climate risk assessment

Fernando, Roshen; Liu, Weifeng; McKibbin, Warwick J. - 2021

This study assesses the global economic consequences of climate-related risk in three broad areas: (1) the macroeconomic impacts of physical climate risk due to chronic climate change associated with global temperature increases and climate-related extreme shocks; (2) the macroeconomic effects...

Persistent link: https://www.econbiz.de/10013235452

On Risk Induced by Technical Change

Ünveren, Burak - 2017

Persistent link: https://www.econbiz.de/10012952023

Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets

Pijoan-Mas, Josep - 2003

Habit formation has been proposed as a possible solution for explaining the equity premium puzzle. This paper extends the class of models that support the habits explanation in order to account for heterogeneity in earnings, wealth, habits and consumption. I find that habit formation increases...

Persistent link: https://www.econbiz.de/10014088410

Welfare costs of business cycles when markets are incomplete

Krebs, Tom - 2004

This paper analyzes the welfare costs of business cycles when workers face uninsurable idiosyncratic labor income risk … the welfare cost of business cycles when preferences and the (marginal) process of individual labor income in the economy … never decreases the welfare cost of business cycles, and strictly increases it if there are cyclical fluctuations across the …

Persistent link: https://www.econbiz.de/10010318998

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Persistent link: https://www.econbiz.de/10010305730