an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

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 …

high. Attitudes towards risk and attitudes towards ambiguity are disentangled, providing pure measures of ambiguity … aversion. Ambiguity aversion is captured in several ways, i.e. as a discount factor net of a risk premium, and as an estimated … intermediate levels of ambiguity aversion. Moreover, we find risk aversion to be statistically unrelated to ambiguity aversion on …