. 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 …

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 … expenditure patterns. While the speculative portfolio depends on risk aversion and real return differentials. When the effect of …

, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

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 …

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 …

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 …