and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework …

-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging …

risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should … vary more than they do -- exchange rates are much too smooth. We calculate an index of international risk sharing that … formalizes this intuition in the context of both complete and incomplete capital markets. Our results suggest that risk sharing …

influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic …, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic …