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- W1541005200 abstract "We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a utility-based objective function. We apply this model combination scheme to forecast stock returns, both at the aggregate level and by industry, and investigate its forecasting performance relative to a host of existing combination methods, both within the class of linear and time-varying coefficients, stochastic volatility models. Overall, we find that our combination scheme produces markedly more accurate predictions than the existing alternatives, both in terms of statistical and economic measures of out-of-sample predictability." @default.
- W1541005200 created "2016-06-24" @default.
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- W1541005200 date "2014-01-01" @default.
- W1541005200 modified "2023-09-28" @default.
- W1541005200 title "Optimal Portfolio Choice under Decision-Based Model Combinations" @default.
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- W1541005200 doi "https://doi.org/10.2139/ssrn.2516950" @default.
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