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 …

In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns … constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities …

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and … redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion … sufficiently low. Under heavier taxation, entrepreneurs are more skilled and less risk-averse, on average. Through these selection …

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 …

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 …

-- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …

This article develops two points. First, insurance against the risk of legal change is largely unavailable, primarily …

superior. The intuition is simple: if underlying technologies are not convex, then risk-sharing can lower expected utility. The … likelihood of a bankruptcy cascade, "contagion," and systemic risk …

aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium … and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data … volatility of the risk-free rate …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …