This Netspar research by Hoevenaars, Molenaar, Schotman and Steenkamp studies the effect of parameter uncertainty on the long-run risk of three alternative asset classes: equity, nominal bonds and short-term T-bills.
They conclude that equity is not the only class which becomes more risky relative to estimates that are conditional on known parameter values.
The long-run risk of long and short-term bonds increases proportionally with the same factor.
The optimal robust portfolio appears well-diversified and stable with respect to the investment horizon.
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