The literature on the effects of parameter uncertainty on optimal portfolio choice suggests the existence of a premium for parameter uncertainty in asset returns. We use a simple extension to classical mean-variance portfolio optimization and devise a robust strategy to benefit from such a...

Empirical evidence shows that diversified banks (i.e. financial conglomerates) trade at a discount compared to a matched portfolio of specialized stand-alone banks. While one strand of research explains this puzzle primarily with inefficiencies in the cash flow management, we analyze whether...

We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003-2015. In a first step, we find that after September 2008 the Spearman's rank correlation between the yield spread and the Italian banking system changed...