information-theoretic measures, including mutual information, the rolling local nearest-neighbour entropy estimator (RLNNEE), and … approximate entropy. The results show that DCs exhibit stronger information dominance than GCs, with this gap widening during the …. Approximate entropy further reveals a decline in market complexity during the war period. Overall, the findings highlight the …

We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎 …-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy … martingale measure is commonly used for pricing and hedging, the minimal-entropy 𝜎-martingale measure has not previously been …

This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the … structures-issues that are particularly acute in cryptocurrency markets-entropy provides a structural mechanism for mitigating …-specific characteristics such as volatility, market capitalization, and liquidity, the WSE model generalizes classical Shannon entropy and …

Maximum Entropy (P3) portfolios, with and without commodity proxy inclusion (gold and oil) in a multi-asset universe featuring … prominent African equity indices. Our key finding challenges classical theory: the robust Maximum Entropy portfolio (P3 …