  We propose methods for constructing regularized mixtures of density
forecasts. We explore a variety of objectives and regularization penalties, and
we use them in a substantive exploration of Eurozone inflation and real
interest rate density forecasts. All individual inflation forecasters (even the
ex post best forecaster) are outperformed by our regularized mixtures. From the
Great Recession onward, the optimal regularization tends to move density
forecasts' probability mass from the centers to the tails, correcting for
overconfidence.
