featuring consumption externalities, recursive utility, and jump risk …

featuring consumption externalities, recursive utility, and jump risk …

We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time … constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the …, we reveal a long-run risk return tradeoff …

examples featuring consumption externalities, recursive utility, and jump risk …

account surpluses in the emerging markets if they face higher risk than the US itself. But, with pronounced Loss Aversion in …