setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

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

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 …

explaining heterogeneity in firm exposures to systematic risk. These differences in systematic risk are partially explained by …-career experiences of starting their first job in a recession also contribute to differential loadings on systematic risk. These effects …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

accurate and low cost computational techniques which would permit extensive use of simulation methodology. Large samples are … simulation results. This paper investigates the tradeoffs available between computational accuracy and cost in simulation …

We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the …