to operate through the effect of poor health on individuals' attitudes toward risk, their planning horizons, or their …This paper analyzes the role that health status plays in household portfolio decisions using data from the Health and … Retirement Study. The results indicate that health is a significant predictor of both the probability of owning different types …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

techniques from the theory of multiple risk-bearing. Applying this analysis, the effect of labor income taxes on the demand for …The effect of uninsured labor income risk on the joint saving/portfolio composition decision is analyzed using new …

for liquid assets by adding uninsured individual risk together with differential costs of trading securities. We then …

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

. I find that changes in dividend risk have effects opposite to those in standard dynamic portfolio models without money …

This paper develops a rule for calculating a discount rate to value risky projects. The rule assumes that asset risk … each of these assets under any theory of debt and taxes and under any assumption about the slope and intercept of the …

This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …