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

页码：769 / 802

页数：33

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