To Combine Forecasts or to Combine Information?

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Is there an optimal forecast combination (2014, background): “One of the puzzles for forecast combination is the documentation of simple average (or equally weighted combination) dominating more sophisticated forecast combinations (e.g. Huang and Lee (2010), Palm and Zellner (1992), Stock and Watson (2004)).”
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2010, unknown): “It will be interesting in future research to compare these approaches, building on the analysis in Huang and Lee (2009), and to explore potential gains to using them in conjunction.”