adjusted to take account of future asset price risk. Some empirical calculations suggest that these adjustments are large, and …

We study a dynamic-contracting problem involving risk sharing between two parties -- the Proposer and the Responder … wealth in the risky asset, but they can share the underlying investment and termination risk. When the project ends they … consume their final accumulated wealth. The Proposer and the Responder have constant relative risk aversion R and r …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

seeking low risk. However, during the financial crisis of 2007-2009, the commercial paper market experienced twice the modern …

featuring consumption externalities, recursive utility, and jump risk …

We estimate the risk and expected returns of private equity investments based on the market prices of exchange …

observation that, under the null, the potentially latent state variables, "long-run risk" and the conditional variance of its … innovation, are known a¢ ne functions of the observable market-wide price-dividend ratio and risk free rate. In linear … forecasting regressions of consumption growth and returns by the price-dividend ratio and risk free rate, the model implies much …

Rational models of risk-averse consumers have difficulty explaining limited annuity demand. We posit that consumers … evaluate annuity products using a narrow "investment frame" that focuses on risk and return, rather than a "consumption frame …, exhibiting high risk without high returns. Survey evidence supports this hypothesis: whereas 72 percent of respondents prefer a …