these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

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

theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset …

The risk of financial ruin during retirement plays a critical role in the formation of equity premiums. Retirees … supply side, for retirees who seek to reduce the risk to outlive their money, the average asset-weighted risk-neutral equity … premium, proved to be around 8%. On the demand side, risk adjustments may be done using the traditional utility-based and …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …

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

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …