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...

We develop an overlapping generation model to analyze the underlying factors that determine the saving behavior among European households. We show that an increase in youth labor supply causes a rise in household savings. In response to an increase in corporate equity, household savings...

For a sample of financial intermediaries from the US, we show that corporate value is strongly related to (risk-neutral) option-implied skewness. In contrast, historical (return-based) skewness does not play a role for valuation. We illustrate that the option-implied skewess predicts better...