Social comparison nudges that employ descriptive norms were found to increase charitable giving. This paper finds that individuals who receive a descriptive norm donate significantly more when they have to guess the descriptive norm beforehand. We argue that guessing draws attention to the norm...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

In this paper, we investigate the calibration of the smoothing parameter in an exponentially weighted moving average (EWMA) for realized covariance matrices. Although it is the crucial determinant in steering the dynamics of the EWMA, little attention is drawn on its calibration in many...