sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long …

plans. We obtain explicit solutions in a stationary setting in which the financial market has different risk premia for …

preferences. In interior efficient allocations, agents share a common risk-adjusted prior and use the same subjective interest … uncertainty shows that risk is fully insured, while uncertainty can remain fully uninsured. Pessimistic agents with Gilboa …-Schmeidler's max-min preferences would fully insure risk and uncertainty. -- Knightian Uncertainty ; Ambiguity ; Incomplete Preferences …