Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio … pricing theory of Shefrin and Belotti (2008) and (partially) resolves the pricing puzzles of small extreme growth, small … estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum …