% (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 …

that the stability of activity sequences is greater, the higher the entropy of time use. For this purpose, a Markov model … calculated. It is evident that the entropy of an attractor is higher, the lower the norm of the second eigenvalue of the …