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 …

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

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …