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Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
On portfolio optimization: How and when do we benefit from high-frequency dat...
We examine how the use of high-frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise... -
Are risk-averse agents more optimistic? A Bayesian estimation approach (repli...
Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk... -
Precautionary motives and portfolio decisions (replication data)
This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households'...
