distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …

featuring consumption externalities, recursive utility, and jump risk …

underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset … pricing; and I show that when real time learning is included risk premia are larger when macroeconomic growth is lower than …

We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time … constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the …, we reveal a long-run risk return tradeoff …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …