Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal … taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of … the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in …

. The spatial derivative price distribution involves a risk premium. We examine functional principal components of … temperature variation for this spatial risk premium. We employ a pricing model for temperature derivatives based on dynamics … modelled via a vectorial Ornstein-Uhlenbeck process with seasonal variation. We use an analytical expression for the risk …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual's effective risk aversion. …

and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important …

that can increase the precision of measuring weather risk. We applied continous autoregressive models (CAR) with seasonal … hedge weather future/options in the market. We propose to study the market price of risk, not only as a piecewise constant … linear function, but also as a time dependent. In any of the previous cases, we found that the market price of weather risk …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

Capital controls lower the variability of the exchange rate and reduce the risk premium as well as the domestic … interest rate. On the other hand, capital controls reduce the number of noise traders and, therefore, the risk-bearing capacity …

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and … the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …