of these events. Using theory and simulations we study the implications of the imminent threat of climate change on … risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

disastrous income risk. We first empirically explore the relations among consumption changes, aggregate income, disaster shock … income risk to which the agent is exposed and her income recovery post disaster jointly affect the agent's optimal decisions … important role of insurance with a focus on the recovery of income in a disaster. We highlight how extent of the disastrous …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

Experimental studies show that people's risk preferences depend non-linearly on probabilities, but relatively little is … risk averse preference relation in general choose a more risky final wealth distribution, receiving a risk premium in … return for accepting conditional-zero-mean noise (more risk). We also propose a new scenario-based notion of less risk taking …

We empirically compare the consistency among several measures of risk-taking and patience by evaluating how these …

We derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility … asset returns. We illustrate the role — beyond risk aversion — played by higher-order moments in the optimal decision to … form a portfolio of risky assets. In particular, we show that higher-order risk attitudes such as prudence and temperance …

When an investor delegates portfolio management to a hedge fund manager, whose risk-taking preference governs? Single …-period models with option-like incentives suggest stark variation in risk-taking across fund value and time as fund managers … risk-taking surface. Cross-sectional pooling of normalized returns allows precise estimation of the normalized risk …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …