We formally compare two versions of the market Variance Risk Premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and find...

This paper examines the impact of specification uncertainty on the performance of international mean-variance conditional asset allocation. This notion is defined as the uncertainty faced by the investor regarding the specification choices necessary to implement a conditional strategy. To assess...