Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy

被引：0
|
作者：
Benoît Carmichael
Gilles Boevi Koumou
Kevin Moran
机构：
[1] Université Laval,Département d’Économique
[2] Université de Sherbrooke,Chaire Desjardins en Finance Responsable, École de Gestion
[3] Université Laval,CRREP et Département d’Économique
来源：
Journal of Quantitative Economics | 2023年 / 21卷
关键词：
Diversity index; Rao’s Quadratic Entropy; Portfolio diversification; Correlation diversification; Diversification return; Diversification ratio; Mean-variance model; C1; C4; D81; G1; G11;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper uses Rao’s Quadratic Entropy (RQE), a general measure of diversity of population, to analyze portfolio diversification. We provide both theoretical and empirical evidence that RQE is a valid, flexible and unifying approach for quantifying and managing the benefits of portfolio correlation diversification.
引用
收藏
页码：769 / 802
页数：33
相关论文
共 50 条
12345