<Para ID="Par1">Data for optimization problems often comes from (deterministic) forecasts, but it is naïve to consider a forecast as the only future possibility. A more sophisticated approach uses data to generate alternative future scenarios, each with an attached probability. The basic idea is to estimate...</para>

Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...