Browsing Norges Banks vitenarkiv by Author "Pettenuzzo, Davide"
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Optimal Portfolio Choice Under Decision-Based Model Combinations
Pettenuzzo, Davide; Ravazzolo, Francesco (Working Papers;15/2014, Working paper, 2014)We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. ...