We extend the Consumption-based CAPM (C-CAPM) model to representative agents with different risk attitudes. We first … use the concept of expectation dependence and show that for a risk averse representative agent, it is the first …-degree expectation dependence (FED) rather than the covariance that determines C-CAPM’s riskiness. We extend the assumption of risk …

in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk … neutral entrepreneur and, even more, that the risk averse one. We also show how marginal increases in risk reduce the optimal … capacity of both the risk neutral and the risk averse entrepreneur, without any restriction on the concave utility function and …

reversals and passes a sharp econometric test of the status quo bias drawn from a field study. …

The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk …. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified … according to risk scales. …

industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then … risk preferences, demand, and uncertainty, we characterize the unique equilibrium. In contrast to previous results in the … literature (without entry), both production and output price depend on uncertainty and risk aversion. Specifically, when entry is …