Entropy. It clarifies the investment problem underlying this diversification strategy, identifies the source of its out …This paper proposes a new formulation of the maximum diversification indexation strategy based on Rao's Quadratic …

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 …

performance and diversification. The key finding indicates that entropy measures effectively identify optimal portfolios …This study addresses market concentration among major corporations, highlighting the utility of relative entropy for … understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper …

This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE … of a portfolio is a valid, flexible and unifying approach to measuring portfolio diversification. The paper demonstrates … that portfolio's RQE can encompass most existing measures, such as the portfolio variance, the diversification ratio, the …

measure --- the generalized entropy --- to summarize moment information of the multi-horizon pricing kernel for a dynamic … model. Both static and dynamic strategy returns impose robust restrictions on the generalize entropy, providing a way to …

We demonstrate that eigenvalues minimize information entropy of the main diagonal elements of a symmetric matrix over … all possible orthogonal transforms. This legitimizes the use of the exponential entropy of standardized eigenvalues as a …

. We achieve this by using an objective function that relies on the exponential of Rényi entropy, an information … Shannon entropy, Rényi entropy features a parameter that can be tuned to play around the notion of uncertainty. A Gram … distribution in the measure. We further rely on a non-parametric estimator of the exponential Rényi entropy that extends a robust …

The Entropy Pooling approach is a versatile theoretical framework to process market views and generalized stress …-tests into an optimal "posterior" market distribution, which is then used for risk management and portfolio management. Entropy … is more suitable for risk management applications.Here introduce the parametric implementation of Entropy Pooling under a …