Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estimation accuracy may be unstable over time. Online aggregation of experts combine the forecasts of a finite set of...

On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: • The factor investing approach, which relies on identifying common factors in security returns...

In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only...