i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …

undiversifiable labor income risk. Optimal portfolios are internationally diversified while positive correlation between domestic … with a small amount of buffer stock saving, while exchange rate risk makes foreign investments less appealing to risk …

labor income risk and stock-market participation costs. In contrast to the initial motivation, we find that the model is not …

income risk, in the form of both uninsurable shocks and a common aggregate component, small differences in the correlation …

simultaneously matching stock market participation and individual asset holdings. The high risk premium is driven by incomplete risk … negligible impact on the risk premium, contrary to the results of models where it is imposed exogenously. …

traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there …

annuities. The model incorporates mortality, inflation, and real interest rate risk. The model draws some interesting …

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …