Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … model constrained with the wealth surplus being greater than or equal to the shortfall over a target and the probability of …

capital asset pricing model. These models are CAPM's beta, beta replaced by skewness (gamma), CAPM's beta with gamma, downside …

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for … in Kaniadakis entropy. Through extensive empirical analysis on both developed (i.e., S&P 500 and Euro Stoxx 50) and … developing markets (i.e., BIST 100 and Bovespa), the study evaluates entropy-based criteria in portfolio selection, investigates …

uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that …

performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series … previous results. Here, the main results indicate that using entropy transfers in portfolio construction and rebalancing has …