Before revision:  The relevance of R\'enyi entropy in portfolio selection applications is illustrated with an empirical study: minimizing this cost function yields portfolios that outperform standard risk optimal portfolios along most performance indicators .
After revision:  The relevance of R\'enyi entropy in portfolio selection applications is illustrated with an empirical study: minimizing this cost function yields portfolios that outperform state-of-the-art minimum variance portfolios in terms of risk-return-turnover trade-off .