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What drives the relevance and quality of experts' adjustment to model-based forecasts?

Franses, Philip Hans (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003754018

Behavioral Benchmarked Investment Management with Expert Forecasts

Lleo, Sebastien; Davis, Mark - 2021

We propose a continuous-time portfolio selection model that explains the active-passive continuum. Our model illuminates the pivotal role of expert opinions and factors in the asset allocation process. In the model, investors aim to outperform a benchmark. As securities and benchmark's drift...

Persistent link: https://www.econbiz.de/10014351920

Forecasts as repeated cheap talk from an expert of unknown statistical bias

Valsecchi, Irene - 2023

For two periods an expert E announces his forecast of the state to a decision-maker D who chooses action. They disagree about the precision of the probability assessments. At the end of period 1 the state is observed. In the last period E makes announcements more extreme than his forecasts....

Persistent link: https://www.econbiz.de/10014390247

Timing of Predictions in Dynamic Cheap Talk : Experts vs. Quacks

Smirnov, Aleksei - 2019

The paper studies a dynamic communication game in the presence of adverse selection and career concerns. A forecaster of privately known competence, who cares about his reputation, chooses the timing of the forecast regarding the outcome of some future event. We find that in all equilibria in a...

Persistent link: https://www.econbiz.de/10012859563

Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters

Corradi, Valentina - 2020

are superior to those based on forming simple averages and medians from the entire panel of experts …

Persistent link: https://www.econbiz.de/10012841490

A simulation-based approach to understanding the wisdom of crowds phenomenon in aggregating expert judgment

Afflerbach, Patrick Jürgen; Dun, Christopher van; … - In: Business & information systems engineering 63 (2021) 4, pp. 329-348

Persistent link: https://www.econbiz.de/10012599806

Forecast Combination with Entry and Exit of Experts

Capistrán, Carlos - 2008

Combination of forecasts from survey data is complicated by the frequent entry and exit of individual forecasters which renders conventional least squares regression approaches infeasible. We explore the consequences of this issue for existing combination methods and propose new methods for...

Persistent link: https://www.econbiz.de/10012723112

Manipulability of Future-Independent Tests

Sandroni, Alvaro - 2008

The difficulties in properly anticipating key economic variables may encourage decision makers to rely on experts … induce experts to forecast strategically in order to pass the test. A test can be ignorantly passed if a false expert, with … difficult to dismiss false, but strategic, experts who know how theories are tested. This result also shows an important role …

Persistent link: https://www.econbiz.de/10012724354

Debiased Expert Forecasts in Continuous Time Asset Allocation

Davis, Mark - 2019

This paper examines the effect of biased expert opinions on asset allocations. Expert opinions, such as brokerage research and analyst views, are an essential component of the asset management sector and an important research topic. However, the effect of behavioral biases on expert opinions is...

Persistent link: https://www.econbiz.de/10012903976

Optimal Selection of Expert Forecasts with Integer Programming

Matsypura, Dmytro - 2017

Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as...

Persistent link: https://www.econbiz.de/10012966346