Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios
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DOI: 10.1093/rfs/hhab041
Abstract: Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-sample values. We confirm that historical forecasts are imprecise guides of subsequent… read more here.
Keywords: forecast errors; optimization; forget learn; lest forget ... See more keywords