Browsing BI Research Centre's Series by Author "Pettenuzzo, Davide"
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Optimal Portfolio Choice under Decision-Based Model Combinations
Pettenuzzo, Davide; Ravazzolo, Francesco (CAMP Working Paper Series;9/2015, Working paper, 2015)We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...