This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...

This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...

This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties...

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk. These signals can be integrated into existing strategies...

We are interested in the macroeconomic implications of the separation of ownership andcontrol. An alternative decentralized interpretation of the stochastic growth model isproposed, one where shareholders hire a self-interested manager who is in charge of thefirm's hiring and investment...

We reexamine the issue of executive compensation within a gen-eral equilibrium production context. Intertemporal optimality placesstrong restrictions on the form of a representative manager's compen-sation contract, restrictions that appear to be incompatible with thefact that the bulk of many...