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Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks

Reference

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

Publication Type

Working Paper

Staff Members

Assoz. Prof. Dr. Sebastian Stöckl Lukas Salcher MSc

Participating Institutions

Chair in Finance Financial Economics

Research

Breaking Bad: Parameter Uncertainty caused by Structural Breaks in Stocks
FFF-Funding Project
January 2022 until December 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 ... More