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Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option prices, are available for generating such...
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This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This … revisions of a robust forecast are more sensitive to new information, and discusses the relevance of this result to previous …
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