The theoretical literature presumes generational risk is large enough to merit study and that such risk can be … to directly measure generational risk and the extent to which it can be mitigated via financial markets or Social … Security. Depending on our yardstick, generational risk, whether across non-overlapping generations or across overlapping …

This paper explores the optimal risk sharing arrangement between generations in an overlapping generations model with … endogenous growth. We allow for nonseparable preferences, paying particular attention to the risk aversion of the old as well as … overall 'life-cycle' risk aversion. We provide a fairly tractable model, which can serve as a starting point to explore these …

, that this positive relationship between risk taking and retirement flexibility is weakened - and under some conditions even … turned around - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination … and labor income, reducing the willingness of consumers to bear risk. Moreover, it turns out that general …

positive relationship between risk taking and retirement exibility is weakened - and under some conditions even turned around … - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination with a high …, reducing the willingness of consumers to bear risk. Moreover, it turns out that general-equilibrium effects can either increase …

the large gap between the volatility of stock returns and of the risk-free rate found in U.S. data …

the most important financial statistics, including not only the average risk premium, but also the variation of the risk … risk aversion parameter of only 4, the model generates a price of risk, measured as the Sharpe ratio, that is almost half …

risky asset portfolios. We show, however, that this positive relationship between risk taking and retirement flexibility is … considered. Productivity risk in combination with a high elasticity of substitution between consumption and leisure creates a … positive correlation between asset returns and labour income, reducing the willingness of consumers to bear risk. Moreover, it …

risky asset portfolios. We show, however, that this positive relationship between risk taking and retirement flexibility is … considered. Productivity risk in combination with a high elasticity of substitution between consumption and leisure creates a … positive correlation between asset returns and labour income, reducing the willingness of consumers to bear risk. Moreover, it …