positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

interval representing the LSTM's parameter uncertainty. Finally, resulting death rates are showed through a back …

We propose a novel and easy-to-implement framework for forecasting correlation risks based on a large set of salient … realized correlation features and the sparsity-encouraging LASSO technique. Considering the universe of S&P 500 stocks, we find …, better equity premium predictions, more accurate portfolio risk targeting, and superior overall risk control and minimization …

-only portfolios. As the NMF factors represent separate sources of risk, they have a quasi-diagonal correlation matrix, promoting …We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization … diversification and presents a better risk profile than hierarchical risk parity (HRP). We assess the robustness of our findings using …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it …

This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard … that have precise risk premia earns an OOS average monthly return of 3.61% (2.21%). In contrast, the conventional high …-low portfolio yields 2.52% (1.48%). Existing OOS inferences do not account for ex-ante estimation uncertainty and thus are not …