Abstract
We introduce a simple and intuitive composite model for forecasting correlations for use in portfolio optimization. Each element of the composite model is based on a realized volatility model. To test our model, we consider an investor seeking to diversify an equity portfolio by including commodities. In a high-frequency setting, we demonstrate that significant economic gains can be achieved by basing portfolio decisions on our modeling framework. The gains depend on the quality of the chosen volatility model, and for our preferred model, they are economically significant despite the realistic constraints on short selling and portfolio turnover.

Abstract
A press conference (pc) organized by the Federal Open Market Committee (fomc) followed half of the scheduled announcements from 2011 to 2018. We document that excess stock returns are strongly and positively related to their betas on announcement days with a pc. In addition, the cross-sectional dispersion in betas declines substantially on pc days when measured using both daily and intraday return data. These effects are absent on announcement days without a pc. Last, we find that stock-bond correlations are positive (negative) on pc (all other) days and that their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.

Abstract
We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology determines both the number of skilled funds and their identities, and locates funds with substantially higher risk-adjusted returns than those identified by conventional alpha-ranking methods. We find strong evidence of time-series variation in both the number of funds identified as superior using our approach, as well as in their performance across different economic states.

Abstract
Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

Abstract
The dynamic Nelson–Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise is a class of models which describes the observed prices of futures contracts well and performs better than conventional benchmarks in realistic real-time out-of-sample exercises. 

Abstract
I study how investor expectations across frequencies shape asset valuations. Using

subjective forecasts of earnings growth, dividend growth, and returns, I extend the

Campbell-Shiller framework to a frequency-specific setting. Business-cycle frequencies

dominate. They are associated with substantial dividend-price variation and feature

a strong earnings growth channel: high dividends signal high future earnings. At

these frequencies, expectations are also most rational. The results show that medium-

and long-run beliefs, rather than short-term noise, move prices, offering a new

interpretation of valuation ratios grounded in the structure of investor expectations.

Abstract

Carbon transition risk is increasingly reflected in asset prices and is central to the sustainability debate. We study how carbon risk affects the cross-section of expected U.S. equity factor returns using carbon tilts, defined as the value-weighted difference in carbon transition risk between a factor’s long and short legs. While carbon-intensive factors earn lower realized returns, forward-looking expected returns based on the implied cost of capital indicate a positive carbon tilt premium that increases with unanticipated climate concerns and over time. Carbon risk varies across investment styles and is most pronounced for strategies linked to profitability, investment, and valuation.