Developments In Forecast Combination And Portfolio Choice

Description:
This volume focuses on the following three themes: model and forecast combinations; structural change and long memory; and controlling downside risk and investment strategies. It deals with three questions facing portfolio managers: how to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models; and how to control downside risk.

Table of Contents:
Contributors; About the Contributors.; Series Preface; Preface; THEME I MODEL AND FORECAST COMBINATIONS; What Exactly Should We Be Optimising? Criterion Risk in Multicomponent and Multimodel Forecasting (A. Neil Burgess); A Meta-parameter Approach to the Construction of Forecasting Models for Trading Systems (Neville Towers and A. Neil Burgess); The Use of Market Data and Model Combination to Improve Forecast Accuracy (Christian L. Dunis, Jason Laws and Sti phane Chauvin); 21 Nonlinear Ways to Beat the Market (George T. Albanis and Roy A. Batchelor); Predcting High Performance Stocks Using Dimensionality Reduction Techniques Based on Neural Networks (George T. Albanis and Roy A. Batchelor); THEME II STRUCTURAL CHANGE AND LONG MEMEOR; Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates (Michel Beine and Si bastien Laurent); Long-run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions (Auri lie Boubel and Si bastien Laurent); Comparison of Parameter Esitmation Methods in Cyclical Long Memory Time Series (Laurent Ferrara and Dominique Guegan); THEME III CONTROLLING DOWNSIDE RISK AND INVESTMENT STRATEGIES; Building a Mean Downside Risk Portfolio Frontier (Gustavo M. de Athayde); Implementing Discrete-Time Dynamic Investment Strategies with Downside Risk: A Comparison of Returns and Investment Policies (Mattias Persson); Portfolio Optimisation in a Downside Risk Framework (Riccardo Bramante and Barbara Cazzaniga); The Three-moment CAPM: Theoretical Foundations and an Asset Pricing Model Comparison in a Unified Framework (Emmanuel Jurczwnko and Bertrand Maillet); Stress-testing Correlations: An Application to Portfolio Risk Management (Frederick Bourgoin.); Index.