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 …

facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time diversification, this form of risk … results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. Rather …

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 …