Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/32961
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dc.contributor.authorSirichand, K.-
dc.contributor.authorHall, Stephen G.-
dc.date.accessioned2015-08-21T09:28:16Z-
dc.date.available2017-10-15T01:45:06Z-
dc.date.issued2015-10-15-
dc.identifier.citationJournal of Forecasting, 2015en
dc.identifier.issn0277-6693-
dc.identifier.urihttp://onlinelibrary.wiley.com/doi/10.1002/for.2369/abstracten
dc.identifier.urihttp://hdl.handle.net/2381/32961-
dc.descriptionJEL Classifications: C32, C53, E43, E47, G11en
dc.description.abstractThis paper illustrates the importance of density forecasting and forecast evaluation in portfolio decision making. The decision making environment is fully described for an investor seeking to optimally allocate her portfolio between long and short Treasury Bills, over investment horizons of up to two years. We examine the impact of parameter uncertainty and predictability in bond returns on the investor's allocation and we describe how the forecasts are computed and used in this context. Both statistical and decision-based criteria are used to assess the predictability of returns. Our results show sensitivity to the evaluation criterion used and in the context of investment decision making under an economic value criterion, we find some potential gain for the investor from assuming predictability.en
dc.description.sponsorshipStephen Hall would like to acknowledge the support of ESRC Grant Number RES-062-23-1753en
dc.language.isoenen
dc.publisherWileyen
dc.rightsThis is the peer reviewed version of the following article: Sirichand, K., and Hall, S. G. (2015) Decision-Based Forecast Evaluation of UK Interest Rate Predictability. J. Forecast.,, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/for.2369/abstract. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.en
dc.subjectoptimal portfolio choiceen
dc.subjectdensity forecastingen
dc.subjectreturn predictabilityen
dc.subjectparameter uncertainty and forecast evaluationen
dc.titleDecision-Based Forecast Evaluation of UK Interest Rate Predictabilityen
dc.typeJournal Articleen
dc.identifier.doi10.1002/for.2369-
dc.identifier.eissn1099-131X-
dc.description.statusPeer-revieweden
dc.description.versionPost-printen
dc.type.subtypeArticle-
pubs.organisational-group/Organisationen
pubs.organisational-group/Organisation/COLLEGE OF SOCIAL SCIENCEen
pubs.organisational-group/Organisation/COLLEGE OF SOCIAL SCIENCE/Department of Economicsen
Appears in Collections:Published Articles, Dept. of Economics

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