We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are … the model to learn from the data. We consider two types of constraints: Non-negative equity premia and bounds on the … conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework …

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan …. -- European equity markets ; mutual fund performance ; time-varying investment opportunities …

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan …