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 …

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 …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …