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Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
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... -
An Empirical Test of Pricing Kernel Monotonicity (replication data)
A large class of asset pricing models predicts that securities which have high payoffs when market returns are low tend to be more valuable than those with high payoffs when...
