. We show that agents who maximize a GEU exhibit first order risk aversion and tend to refrain from di- versification in … risk aversion increases the threshold of yields leading to diversification, shifting the cone of diversification upwards … given domestic yield. Ceteris paribus, greater downside risk aversion reduces the feasible hetero- geneity of normalized …

expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

weight on downside risk [as modeled by Gul (1991)]. Policy uncertainty is induced by the Disappointment aversion implies that …

continue to hold even if the coefficient of relative risk aversion approaches zero (that is, even if the marginal utility of … income is constant so that agents are risk neutral in the conventional sense) …

-averse entrepreneurs discount using a 'hurdle rate' that exceeds the risk-free interest rate. The gap between the two rates increases with …

a high weight on the downside risk of holding risky assets abroad and will tend to hold primarily safe foreign assets …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …