We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem is used to highlight the advantages of the proposed...

We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...