asymmetric behavior toward the upside potential of gain versus the downside risk of loss. Using an asymmetric split normal …-default-model-implied) spread to two illiquidity risk factors. The first factor is extracted from several measures of idiosyncratic illiquidity …

financed centrally. This paper builds a model of portfolio allocation with heterogeneity in disaster risk exposure, and with a … discrimination by risk exposure is unfeasible. In this situation, the model shows that the regulator is willing to invest … of nuclear risk in France …

, the agents differ in both, with respect to preferences for the subjective rate of time preference and in the level of risk …-closed-form solutions for the state price densities, optimal consumptions, market prices of risk, interest rates and exchange rates …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency … factor of the model was developed to analyze the risk behavior of investors. The calculations of this newly tested model show … that the value of the coefficient of relative risk aversion is 1.033526 by assuming the value of the subjective time …