A note on minimizing absolute percentage error in combined forecasts

In this note, two new approaches of combined forecasts are proposed. One approach minimizes mean absolute percentage error while the other approach minimizes the maximum absolute percentage error. A goal programming model is used to obtain the weights to combine different forecasts to minimize the mean absolute percentage error. This formulation can be solved readily by any linear programming computer code. The other approach, minimizing the maximum absolute percentage error, can also be formulated as a goal programming model.