sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

main contribution, we test for the correct dynamic specification of these models. In all cases, the hypothesis of correct …

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing … extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears …

induced allocation decisions are implemented in an investment backtest. We find significant improvements in terms of out …