% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …

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 …

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