We analyze two robust portfolio selection models, where a mean-variance investor considers possible deviations from a reference distribution of asset returns, adopting a maxmin criterion. The two models differ in the metric used to measure the distance between the reference distribution of asset...

A new approach to the study of stock returns is proposed. A simple model is developed to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of financial resources distributed...

Since the outbreak of the financial crisis in 2007, the level and volatility of the Euribor–OIS spreads have increased significantly. According to the literature, this variability is mainly explained by credit and liquidity risk premia. I provide evidence that part of the variability might...

At the turn of the century, US and euro area long-term bond yields experienced a remarkable decline and remained at historically low levels despite rising short-term rates (the so called "conundrum"). Estimating macro-finance VARs and no-arbitrage term structure models, many researchers find...

We analyze two robust portfolio selection models, where a mean-variance investor considers possible deviations from a reference distribution of asset returns, adopting a maxmin criterion. The two models differ in the metric used to measure the distance between the reference distribution of asset...