We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficientfor the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial … equities returns ; Value at Risk ; investment horizon ; vector auto-regression …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4 …, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment …