We develop a dynamic model of firm investment under uncertainty that captures firms' risk attitude using quantile …-quantile of its value next period. In our framework, τ ∈ (0, 1) parametrizes the firm's attitude toward downside risk. The model … value of future marginal profits -- investment depends directly on the firm's risk attitude. We further integrate our model …

role of secondary markets in providing opportunities for redistributing risk is made transparent and the modifications …

I characterize a dynamic economy under general distributions of households' risk tolerance, endowments, and beliefs … consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households' wealth … risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of …

explain a set of behavioral anomalies identified across four distinct domains of decision-making: choice under risk, choice … risk and ambiguity, belief updating, and survey expectations. Our framework makes predictions that we test using exogenous …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …

. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between market prices and …