in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion … heterogeneity to quantify their effects on wealth inequality. The results show that with the available estimates of the risk …, the share of wealth held by the top 1% is still substantially underestimated. It is also shown that models without risk …

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 …

extended model with an infinite horizon, idiosyncratic risk and more realistic assumptions is used to demonstrate the general …

models are more likely to have generated the data. In particular, despite its generality, a model with both risk aversion and …

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 …

investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities …

dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …

is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used … as collateral to relax financial constraints provides insurance against aggregate shocks and commands a lower risk …