accommodating the long-run consumption risk. Consumption growth includes a small predictable component as in Bansal and Yaron (2004 … consumption growth. For example, the estimate of risk aversion falls from around 200 to 10, and the R2 increases from around 30 …

monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …

with individual VaR delivers an optimal wealth assignment between risky and risk-free assets …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …