This dissertation addresses different key elements in portfolio management. It intends to improve and analyze influences on portfolio strategies and their performance. Likewise, it aims at the systematization and extension of benchmark specifications as well as their effect on portfolio...

We formulate a tractable continuous-time rational expectations model in which the agent is ambiguity averse and would like to robustify asset return specification. Ambiguity affects the portfolio rule and asset pricing both individually and collectively with risk. Independently existing...

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after...

We show that geographical variation in the level of investor sophistication influences local asset prices. Investors in less sophisticated regions exhibit stronger trading correlations, and correspondingly, the returns of firms headquartered in less sophisticated areas are more strongly...

In this paper we introduce a new model, based on the synthesis of conditional copulas and Gaussian graphical models under a copula -- vine framework. The use of the copula vine permits each pair between the market and a stock to have their own dynamics. In that case the asset keeps its...