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Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks

Referenz

Salcher, L., & Stöckl, S. (2022). Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks. University of Liechtenstein.

Publication Type

Arbeitspapier

Staff Members

Assoz. Prof. Dr. Sebastian Stöckl Lukas Salcher MSc

Participating Institutions

Lehrstuhl für Finance Finanzökonomie

Research

Breaking Bad: Parameter Uncertainty caused by Structural Breaks in Stocks
FFF-Förderprojekt
Januar 2022 until Dezember 2022 (finished)
Estimating parameter inputs for portfolio optimization has been shown to be notoriously diffi-cult resulting in disappointing out-of-sample performance (Michaud, 1989; DeMiguel et al., 2009). The ... Weitere