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Ilut, Cosmin; Schneider, Martin - 2012

Persistent link: https://www.econbiz.de/10009561510

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Volatility in equilibrium : asymmetries and dynamic dependencies

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The cross-section of foreign currency risk premia and consumption growth risk : a comment

Burnside, Craig - 2007

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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

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Volatility in equilibrium : asymmetries and dynamic dependencies

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Pricing of the time-change risks

Shaliastovich, Ivan; Tauchen, George Eugene - 2009

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Expected stock returns and variance risk premia

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Risk attitude optimization and heterogeneous stock market participation

Sarver, Todd - 2017

This paper studies equilibrium portfolio choice and asset returns using a new model of recursive preferences called optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally select her risk aversion parameter in response to the...

Persistent link: https://www.econbiz.de/10012116795