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Parameter Uncertainty: Measurement and resulting implications for portfolio management

Project Description

This project is concerned with estimation errors and parameter uncertainty in the investment process. The first study extends a previous study using investors reaction to parameter uncertainty to predict the equity premium to further predict a large variety of factor premia. The second study is extending the uncertainty of estimating expected returns to uncertainty about the estimation of the entire return distribution.

Keywords

parameter uncertainty factor premium Kullback-Leibler divergence style investing