We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

This paper asks a few key questions relevant for active risk parity portfolio construction. Given the dynamic nature of … within a transparent conceptual framework is critical for the continued success of risk based portfolio construction and …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a …

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary … number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios … exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed …

according to the CAPM has most risk? One answer is that as far as risk goes the two assets are the same, because they have the … overlooked, is that investments have the same risk, the same returns beta and the same CAPM discount rate if and only if they … that surrounds capital budgeting and "risk adjusted" discount rates, while also displaying the mechanics by which …

the internal margin, i.e., the strength, of loss aversion, and empirically study the relation between income risk …-income population of Bogotá, characterized by limited financial education and subject to substantial income risk. In line with the … theoretical predictions, we find that an increase in income risk is associated with higher savings for loss-averse individuals …

empirically study the relation between income risk, experimentally elicited loss aversion, and precautionary savings. We do so … subject to substantial income risk. In line with the theoretical predictions, we find that an increase in income risk is … aversion. An accompanying laboratory experiment confirms that an exogenous increase in income risk causally leads to this …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We … most recent distress risk shocks to which investors initially underreact, causing temporary overpricing of distressed … stocks. In the long run, the relation between distress risk and returns reflects the positive risk premium as distress risk …