In the framework of continuous-time finance theory, this paper derives the optimal consumption and portfolio rules for … an international investor with constant expenditure shares [alpha, sub j] and constant relative risk aversion [1-gamma … inflation and risk aversion. It is shown that the minimum variance portfolio is independent of returns, but depends on …

This paper examines distortions in corporate investment decisions when a new project changes firm risk. It presents a … dynamic model in which a self-interested, risk-averse manager makes investment decisions at a levered firm. The model … factors in this decision are the expected changes in the values of future tax shields and bankruptcy costs when firm risk …

Efforts to reconcile inconsistencies between theory and estimates of the income elasticity of the value of a … influence both the coefficient of relative risk aversion and the IEVSL. The presence of a consumption commitment, such as a home …

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 …

long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends …

household's attitudes toward risk, as shown in Swanson (2012). In this paper, I analyze how frictional labor markets affect that … analysis. Household risk aversion (as measured by willingness to pay to avoid a wealth shock) is higher: 1) in countries with … in Europe are large enough to play a substantial contributing role to risk aversion in those countries. Nevertheless …

which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect … risky choice. Consistent with prospect theory, the investor in our model derives utility not only from consumption levels …, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …