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 …

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 …

the standard approach, the target firm's expected return and risk are modeled as a parametric curve in terms of a critical … business decision. A general condition is derived for characterizing how a risk-averse or risk-seeking agent may behave … differently from a risk-neutral decision maker. This general theorem is applied to solve several examples that demonstrate the …

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 presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and …