We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality … risk has only minor effects on the optimal controls early in the life cycle but it becomes crucial in later years. A …

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson … the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …

This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk …

stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness and can negatively …

We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who … are below 1.16% if the jump size is stochastic and below 1% if the jump size is constant and ... 5. We perform robustness … checks for various levels of risk-aversion, expected jump size, and jump intensity. …

construct managed portfolios of a risk-free asset and market index. …