Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of … mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single … period horizon with increasing variance as the forecast horizon grows. This paper considers properties of optimal forecasts …

conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework … statistical and economic measures of out-of-sample forecast performance. The Sharpe ratio constraint, in particular, results in …

survey forecasts outperform the best model-based forecasts for a majority of macroeconomic variables and forecast horizons …. We also provide an analysis of the importance of model instability for explaining gains from forecast combination …. Analytical and simulation results uncover break scenarios where forecast combinations outperform the best individual forecasting …

unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast … bias. - Forecast combination ; forecast evaluation ; data snooping ; real-time data ; Survey of Professional Forecasters …

unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast …