This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm … simulation to the normal simulation. …

commonly used in the literature. We also show how a formulation of a taste for variety as entropy that had been previously used …

which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an …