In this paper we investigate exponential smoothing (ES) predictors for the weights of high-dimensional realized global minimum variance portfolios (GMVP) which only depend on the realized covariance matrix of risky financial assets. We compare direct ES predictions of realized GMVP proportions...

In this paper we adapt the empirical similarity (ES) concept for the purpose of combining forecasts originating from different models. Our ES approach is suitable for situations where a decision maker refrains from evaluating success probabilities of forecasting models but prefers to think by...

This paper considers estimation of an unknown distribution parameter in situations where we believe that the parameter belongs to a finite interval. We propose for such situations an interval shrinkage approach which combines in a coherent way an unbiased conventional estimator and non-sample...