Does valuation risk induced by stochastic time preferences explain the equity premium puzzle as proposed by Albuquerque … et al. (2016)? This explanation of the equity premium has several challenges. First, the valuation risk model implies … extreme preference for early resolution of uncertainty and extreme aversion to valuation risk (which becomes infinite as …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

Standard finance theory has long identified equity investment with aggregate consumption and equity investors with … average consumers, while treating most growth risks as iid. The combination makes it impossible to reconcile high equity risk … premia with modest risk aversion. Reinterpreting equity markets as gambling casinos with unstable risks cuts a Gordian knot …

Sequential investment opportunities or the presence of a rival typically hasten investment under risk neutrality. By … contrast, greater price uncertainty or risk aversion increase the incentive to postpone investment in the absence of … attitudes towards risk to impact both the optimal technology adoption strategy and the optimal investment policy within each …

This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk … aversion is based on optimal expected utility risk measures (OEU) as introduced by Geissel et al. (2017) and, in contrast to …, implied risk aversion is easily interpreted in terms of an individual investor's risk aversion: A product is attractive for an …

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An … agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand … function for contingent claims with a smaller slope. We show that the conditions for standard risk aversion: positive …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …