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Does model complexity add value to asset allocation? Evidence from machine le...
This study evaluates the benefits of integrating return forecasts from a variety of machine learning and forecast combination methods into an out-of-sample asset allocation... -
Averaging Across Asset Allocation Models (replication data)
Combination of asset allocation models is rewarding if (i) the applied risk function is concave and (ii) there is no dominating model. We show that most common risk...
