-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

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 …

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are …-Pratt index of absolute tolerance (Tu) be convex. If we allow for a" positive risk-free rate, the necessary and sufficient …" function exhibits constant relative risk aversion. …

limit where the investor switches to 100% in cash. Again, we show that this strategy is inefficient under second-order risk …