's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … metrics: volatility, Sharpe ratio, certainty-equivalent return, turnover and opportunity cost. For minimum-variance portfolios … formed using analyst forecasts, although the volatility of the portfolios increase, the Sharpe ratios substantially increase …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …