This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing … volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …

This paper examines how labor income volatility and social security benefits can influence lifecycle household …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

price volatility and "sentiment" fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …