The appeal of expected utility theory as a basis for a descriptive model of risky decision making has diminished is a …-range probability than is proposed by the expected utility model and risk-seeking behavior over quot;long-shotquot; odds is common …

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when … temporal resolution of risk matters and a quantitative assessment of how much it matters should be part of the calibration … of risk into the discussion of the quantitative properties of long-run risks and related models …

A large empirical literature found that the correlation between insurance purchase and ex post realization of risk is …-dimensional heterogeneity in their risk types. It is suggested that selection based on multidimensional private information, e.g., risk and risk … based on multidimensional private information in risk and risk preferences, can, under different market structures, result …

The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns … factors (SDFs) when they are misspecified and the covariance matrix of the asset returns with the risk factors has less than … with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject misspecified …

We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined … payoffs, our model provides a novel and unified account of many empirical phenomena, including frequent risk-seeking behavior … distinguish it from Prospect Theory, which we test. We also use the model to modify the standard asset pricing framework, and use …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

enough to approximate Kahnenman and Tversky's prospect theory and that for certain parametric values will yield the expected …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

arises from a mixture of idiosyncratic risk and fixed (or predictable) heterogeneity, making the two challenging to …

over other firms. Private information or mobility costs can provide that advantage. Also required is that the risk have a …