CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns … preferences, endowments and dividends and compare the equilibrium prices and portfolio-holdings to the predictions of the CAPM …. While the CAPM does not hold exactly for the chosen specification, it turns out that pricing errors are extremely small …

This paper generalizes the theory of irreversible investment under uncertainty by allowing for risk averse investors in … the absence of com-plete markets.Until now this theory has only been developed in the cases of risk neutrality, or risk … price that distinguishes price regions in which it is optimal for a risk averse investor to invest and price regions in …

positive relationship between risk taking and retirement fl exibility is weakened - and under some conditions even turned … around - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination with a … labour income, reducing the willingness of consumers to bear risk. Moreover, it turns out that general-equilibrium effects …

, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging … demand obtained in the traditional mean-variance framework.We find that agents across a broad range of levels of risk …