This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky … asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their … investments to risky assets and have little desire to buy life insurance and risk-free bonds. When the degree of risk aversion …

pricing model with a green-minus-brown (GMB) factor as a proxy. I estimate the relationship between risk factors and excess …-of-fit when flexibly estimating the relationship between risk factors and excess returns. I confirm previous studies finding that …

(2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states … systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio …