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

Publication Type

Presentation at Scholarly Conference

Staff Members

Lukas Salcher MSc

Participating Institutions

Chair in Finance

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