I construct a general equilibrium model and show that the covariance between investment and labor with aggregate output in bad states commands a large premium, supporting empirical findings that connect to downside risk, and time-varying productivity exposures

We exploit the US Survey of Consumer Finances from 1998 to 2010 to study households' portfolio risk. We compare alternative measures of ex-ante risk, based on a financial portfolio including deposits, bonds and stocks, or a broader portfolio also including real estate, business wealth and...