downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk … larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

This paper examines consumption decisions under risk assuming a prioritarian social welfare function, namely, a concave … transformation of individual utility functions. Under standard assumptions, there is always more current consumption under ex ante … risky future. In contrast, there is usually less current consumption under ex post prioritarianism than under utilitarianism …

This paper tests the long run risk and valuation risk model using a robust estimation procedure. The persistent long … run component of consumption growth process is proxied by a news based index that is created using a random forest … algorithm. This news index is shown to predict aggregate long term consumption growth with an R-square of 57% and is robust to …

using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which … risk aversion can be modified without altering intertemporal substitution. We characterize the impact of changing the … intertemporal substitution and risk aversion parameters on equilibrium short-run and long-run risk prices and on equilibrium wealth. …

the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for … stockholder consumption, while the estimated elasticity of intertemporal substitution is above one. In addition, the estimated …