Maxime Bonelli, Daniel Mantilla-Garcia: We propose a variation of a predictive system that incorporates two (additional) economically motivated assumptions about the dynamics of expected returns, namely 1) their positivity, and 2) a time-varying volatility correlated with economic regimes.
Research Engineer, Koris International
Research Associate, EDHEC-Risk InstituteHead of Research & Development, Koris International
|Type :||Working paper|
|Date :||le 07/07/2014|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|