We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed … to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a … structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of …

-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The … higher if the more risk-averse agents are net sellers or if the asset supply expands over time …

that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this …Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

Empirical Studies of household portfolios have shown that young and relatively poor households hold under … variable in household portfolio studies …

both the value of the housing state variable and the household's degree of relative risk aversion. Empirical results using … for house price risk, and assumes that altering the quantity of housing incurs an adjustment cost. Because of the …

differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an application … shown how margin constraints increase the market price of risk and decrease the interest rate by forcing more risk averse … agents to hold more risky assets, producing a higher equity risk premium. In addition, heterogeneity and margin constraints …