in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion … heterogeneity to quantify their effects on wealth inequality. The results show that with the available estimates of the risk …, the share of wealth held by the top 1% is still substantially underestimated. It is also shown that models without risk …

an asset pricing model (e.g., the domestic CAPM). Different from a Bayesian approach, the investor separately relies on … investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion …

One of the leading theories of entrepreneurship is that less risk averse individuals become entrepreneurs and more risk … comparative static result, that an economy-wide increase in risk aversion lowers the equilibrium wage, appeared to require the … assumption that all agents had identical risk aversion index, throwing out their motivating insight and indicating that the model …