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
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|Research Cluster :||Finance|