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Portfolio performance.
| Forecasting models | |||
|---|---|---|---|
| MIDAS-RV | 3.1575 | 3.1695 | 2.8538 |
| MIDAS-RV-OVX | 3.3982 | 3.1880 | 2.8258 |
| MS-MIDAS-RV | 3.1358 | 3.4623 | 3.6636 |
| MS-MIDAS-RV-OVX | 3.3556 | 3.7483 | 3.7534 |
Notes: This table reports the CER for a mean-variance function, which reflects an investor’s assets assignments between oil futures and a risk-free asset.
