We investigate the diversification benefits of combining commodities with a traditional equity portfolio, while considering higher order statistical moments and seasonality. The literature suggests that the in-sample diversification benefits of commodities in portfolio optimization are not...

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...

We combine risk-neutral densities from equity index options with realized index returns to estimate the market's risk aversion. Starting from a power utility framework with constant risk aversion, we extend it by more flexible stochastic discount factors. We allow for time-varying risk aversion...