delivers higher risk-adjusted returns compared to the volatility-targeting strategy, and that it successfully caps the realized …

of random matrix theory, a branch of probability theory; and an introduction of the Shannon entropy as a measure of noise …

performance in terms of out-of-sample portfolio risk and turnover. Specifically, the optimal filtering method is a blend between …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …