This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold … risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest … rate falls, as implied by the theory of uncovered interest parity. Empirically this effect is important and can lead …

depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and … on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount … conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized …

that realistic heterogeneity of risk aversion and labor income risk can strongly affect optimal portfolio choice over the …

optimally shares risks across generations exposes future generations to a share of the risk in physical capital returns. Such a … system reduces precautionary saving and increases the risk-bearing capacity of the economy. Under plausible conditions it … increases the riskless interest rate, lowers the price of physical capital, and reduces the risk premium on physical capital …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …