The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

In this paper, a notion of risk measure is defined for dynamic models. Three axioms, coherence, relevance and dynamic consistence, are postulated. It is shown that every dynamic risk measure that satisfies the axioms can be represented as the maximal expected present value of future losses where...

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty where aggregate output grows at a constant rate. If the growth rate is known, the term structure is flat. In contrast, the term structure is a...

We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem...

We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.