the building block of portfolio theory. However, the validity of the EMH still remains controversial, and the methods of … testing for market efficiency have been criticised. This study utilises entropy analysis combined with generalised … recessionary periods and to increase in subsequent periods. We have also found that the entropy measure tends to increase over time …

This paper proposes a conceptual modeling framework based on category theory that serves as a tool to study common … framework forms the basis for an entropy-based stacking model to address issues of inconsistency and bias in classification … individual base models, the proposed entropy-based stacking model provides more consistent performance across multiple data …

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 …

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for … in Kaniadakis entropy. Through extensive empirical analysis on both developed (i.e., S&P 500 and Euro Stoxx 50) and … developing markets (i.e., BIST 100 and Bovespa), the study evaluates entropy-based criteria in portfolio selection, investigates …

because it removes residual heterogeneity that was incorrectly captured by previous models based on GAM and GAMLSS theory. We …