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

We show that reaching for yield--a tendency to take more risk when the real interest rate declines while the risk … constraint also affects the response of risktaking to a change in the risk premium, which can even change sign. In a variant of …

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 …

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 …

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 …