Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2013 erstellt
Description:
The problem of finding appropriate weights to combine several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with the weights obtained from solving an optimization problem. This paper documents the properties of this optimization problem with a series of simulation experiments. When the number of forecasting periods is relatively small, the optimization problem often produces solutions that are dominated by a number of simple alternatives