We perform an out-of-sample comparison of linear factor asset pricing models from an economic perspective under predictability. We assess the economic value added of several factor models when a Bayesian investor is faced with a portfolio allocation problem whereby each model imposes...

We investigate whether machine learning techniques and a large set of financial and macroeconomic variables can be used to predict future S&P realized volatility. We evaluate the aggregate volatility predictions of regularization methods (Ridge, Lasso, and Elastic Net), tree-based methods...