We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …

Common integrated assessment models produce the counterintuitive result that higher risk aversion does not lead to …. The simulations show that aversion to this tipping point risk has little effect. For climate sensitivity of realistic …