Purpose - We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and … expected stock returns. Design/methodology/approach - We estimate a cross-sectional model of expected entropy that uses several … common risk factors to predict idiosyncratic entropy. Findings - We find a negative relationship between expected …

% (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 …