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 … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …

portfolios with lower risk, less extreme asset allocations, and higher diversification across asset classes. Sensitivity analyses …

sets a series of non parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …

multiple strategies offers sizable diversification benefits. Our rule leverages these benefits and compares favorably to eleven …

interest margins when credit risk is controlled. -- Income diversification ; interest income ; fee income ; interest margin …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

This paper examines the existence of long-run benefits of the international diversification in the equity markets of …