WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem. Despite its exceptional popularity, MPT poses a number of well-documented problems in practical applications. Especially the fact that it generates notoriously extreme and...