Entropy paper draft finally available

Writing this paper has been harder than I expected, lots of interesting things learned along the way. Diversified Mean-Variance a first draft is finally up on the website. I ran across a new paper on Entropy objective functions, it is not freely available and I am in the process of reviewing the results shown in the paper. It seems there must be a way to introduce a reasonable constraint on the portfolio variance, my first implementation was Newton's method, but it just doesn't seem as rich as Interior Points so I'm building a better mousetrap.

I've also begun to understand why I like Black-Litterman and entropy. There is a consistent thread of information content in both methods, in Black-Litterman we have the variance of the estimates, and in entropy we have the entropy or distance between two portfolios for the results. I'm thinking it might be interesting to try and calibrate the output entropy based on the entropy of the inputs.