stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …

that realistic heterogeneity of risk aversion and labor income risk can strongly affect optimal portfolio choice over the …

with low income uncertainty; for the high income risk worker, equity exposure rises until retirement. We also evaluate how … differences in social security benefits can influence retirement risk management …

-cycle (or target date) funds. We find that life-cycle funds designed to match the risk tolerance and investment horizon of … investors have small welfare costs. All other choices, including life-cycle funds which do not match investors' risk tolerance …