1. ), a rolling covariance matrix (without updating) and different parameterizations with respect to the CAPM. Interestingly, these results are not fully reflected in the quality of the forecasts (in terms of RMSE or OOS R 2 s, not reported here) and so we deem further investigation necessary with respect to the forecasting method of;Many of these results remain robust for different time periods,1983
2. Are Industry Stock Returns Predictable?;K R Beller;Financial Analysts Journal,1998
3. Global Portfolio Optimization;F Black;Financial Analysts Journal,1116