in risk premia; or the irrational exuberance of investors, bidding prices up and down even in the absence of changes in … such changes in uncertainty would generate through sentiments or risk premia. I then apply this framework to the S&P 500 …, the negative correlation between movements in uncertainty and in implied risk premia) is not compatible with rational …

the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk … of the investors are relevant in shaping risk aversion and return expectations. In contrast, wealth, income, and past … market performance have limited impacts on expectations and risk aversion …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

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 …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

premium in general equilibrium, while flexibility in utilization adjustments helps explain uncertainty risk exposures in the …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that … approximates the data average with (1) low risk aversion, (2) non-persistent (i.i.d.) growth rates, (3) power utility, (4) diffuse …