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. Presented at the World Finance Conference, Turin, Italy.

Publication Type

Präsentation auf wissenschaftlicher Konferenz

Staff Members

Lukas Salcher MSc

Participating Institutions

Lehrstuhl für Finance

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