Decision-based forecast evaluation of UK interest rate predictability

This paper illustrates the importance of density forecasting and forecast evaluation in portfolio decision making. The decision making environment is fully described for an investor seeking to optimally allocate her portfolio between long and short Treasury Bills, over investment horizons of up to t...

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Bibliographic Details

Main Authors:	Kavita Sirichand, S.G. Hall
Format:	Default Article
Published:	2015
Subjects:	Other commerce, management, tourism and services not elsewhere classified Statistics not elsewhere classified Optimal portfolio choice Density forecasting Return predictability Parameter uncertainty and forecast evaluation Statistics Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/19754
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