framework instead of the MV framework. Fourth, the dominance of the DR framework is well-documented by comparing out-of-sample …

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which … are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of …

context. Simulations are then conducted to investigate the out-of-sample efficiency properties of several competing … less efficient out-of-sample - and in some cases more biased - than more parsimonious forms which also fit the data …-efficiency tradeoff in both in- and out-of-sample frameworks. …

out-of-sample performance, as pseudo-real time evaluation exercises show. …

-2008, the CLI-AT indicates cyclical turns with a "steady" lead in the majority of cases. Finally, in using an out-of-sample …

conductedto investigate the out-of-sample efficiency properties of several competing distributions. Theresults indicate that more …-efficiency tradeoff in both in- and out-of-sample frameworks. … less efficient out-of-sample–and insome cases more biased–than more parsimonious forms which also fit the data adequately …

predictor variables included. In a typical stock-bond strategic asset allocation problem on US data, we compute the out-of-sample …. We conclude that most (if not all) VARs cannot produce portfolio rules, hedging demands, or out-of-sample performances …

We evaluate the usefulness of bias-correction methods for autoregressive (AR) models in terms of out-of-sample forecast …

exchange rate. In particular, our simple factor-based model outperforms the random walk model in out-of-sample forecast for the …

months, and out-of-sample forecasts show that the GISI has the lowest forecast error of all the inflation expectations …