can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two … in each period. -- Consumption and labor taxation ; equivalence ; risk …

between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

technologies under uncertainty. Specifically, given two technologies, one with lower costs at present, but the other with greater … uncertainty in the returns to R&D, how should one allocate the R&D budget? We develop a multi-stage stochastic dynamic programming … variance in the uncertainty in returns to R&D and with the skewness of the uncertainty. We also present an illustrative case …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk. …

uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to … capital income risk, we solve for the optimal consumption-saving choices and show that the expected welfare is increasing with … capacity, assuming a relative risk aversion degree larger than unity. Furthermore, we solve for attention choice and find that …

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk … and uncertainty that is consistent with the Intergovernmental Panel on Climate Change's sixth assessment report. We find … specifications. We show that risk associated with high damages in the long term leads to stringent mitigation of carbon dioxide …