2017
DOI: 10.1002/for.2476
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Yield curve forecast combinations based on bond portfolio performance

Abstract: We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem is used to highlight the advantages of the proposed approach with respect to combination methods based on statistical measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond portfolios obtained with nine alterna… Show more

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Cited by 2 publications
(1 citation statement)
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“…The informationtheoretic approach and the wavelet analysis have also been proposed in stock price prediction [48,49]. Several portfolio optimization methods have also been presented in some works using forecasted stock returns and risks [50][51][52][53][54][55].…”
Section: Related Workmentioning
confidence: 99%
“…The informationtheoretic approach and the wavelet analysis have also been proposed in stock price prediction [48,49]. Several portfolio optimization methods have also been presented in some works using forecasted stock returns and risks [50][51][52][53][54][55].…”
Section: Related Workmentioning
confidence: 99%