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 …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Second, evaluating the …