Historic teaching & evaluations
Links to Code & Data
Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
We empirically proof that investors shy away from assets with recent structural breaks which we use as a proxy for parameter uncertainty.
World Finance Conference 2022
Austrian Workshop on Banking and Finance 2021
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
University of Konstanz (Germany)
Frontiers of Factor Investing 2020
Cologne Colloquium on Financial Markets 2020
Asset Allocation under Parameter Uncertainty 2017
Workshop of the AWG 2017
FMA Europe 2017
Australasian Finance & Banking 2016
World Finance 2015
UBC Sauder (Vancouver)
HSG (St. Gallen)
Less Is More: Granularity of Information, Estimation Errors and Optimal Portfolios
Ranking assets based on their expected returns and subsequently optimizing portfolios on the reduced amount of information produces pobetter forecasts and significantly improved out-of-sample performance related to the plug-in portfolio.
Finance Seminar Neuchâtel 2022
World Finance Conference 2021
Austrian Workshop on Banking and Finance 2020