models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

In addition to discrimination, market power, and human capital, gender differences in risk preferences might also … in any given period. Subjects were informed of the exogenous risk premium being offered for the risky job. Women were … gap in the experiments. That women were more risk averse than men was also manifest in the Pratt-Arrow Constant Absolute …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks … prominent portfolio risk management and policy implications for investors, risk managers, and policymakers …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to … measure income risk as the observed variation of household income over a five year period. We find that indeed higher income … risk reduces the propensity to invest in stocks. However, when controlling for household heterogeneity as well as …

Downside-Beta Comovement and Upside-Beta Comovement is the main driving force for market level skewness. An indicator called … "Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Interpersonal heterogeneity in risk attitudes is a regular feature of experimental data on decision making under risk … disparities, they share the fundamental concept of utilizing the population distribution of risk attitudes to identify individual …-specific risk attitudes. We also introduce a recursive estimator of classical origin, demonstrating that the distinction between the …

investors for optimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. The … optimism or pessimism of Keynesian utilities is determined by empirical proxies for risk and ambiguity. Bulls and bears are …