distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …

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 …