Parameter Uncertainty: Measurement and resulting implications for portfolio management

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Type and Duration

FFF-Förderprojekt, December 2018 until February 2020 (finished)

Coordinator

Institute for Financial Services

Main Research

Wealth Management

Field of Research

Parameter Uncertainty

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

Principal Investigator

Ass.-Prof. Dr. Sebastian Stöckl

Sponsor

Forschungsförderungsfonds der Universität Liechtenstein