Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy
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- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2023. "Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(4), pages 769-802, December.
- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015. "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," Cahiers de recherche 1508, CIRPEE.
- Gilles Boevi Koumou & Kevin Moran, 2015. "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," Cahiers de recherche 1502, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
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Cited by:
- Gilles Boevi Koumou & Georges Dionne, 2022.
"Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation,"
Risks, MDPI, vol. 10(11), pages 1-19, October.
- Koumou, Gilles Boevi & Dionne, Georges, 2019. "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers 19-2, HEC Montreal, Canada Research Chair in Risk Management.
- Gilles Boevi KOUMOU & Georges DIONNE, 2021. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Working Papers 7, Africa Institute for Research in Economics and Social Sciences.
- Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015.
"A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy,"
Cahiers de recherche
1519, CIRPEE.
- Gilles Boevi Koumou & Kevin Moran, 2015. "A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy," Cahiers de recherche 1509, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
- Contreras, Javier & Rodríguez, Yeny E. & Sosa, Aníbal, 2017. "Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff," Energy Economics, Elsevier, vol. 64(C), pages 286-297.
- Koumou, Gilles Boevi, 2020. "Mean-variance model and investors’ diversification attitude: A theoretical revisit," Finance Research Letters, Elsevier, vol. 37(C).
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- Marielle Jong, 2018. "Portfolio optimisation in an uncertain world," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 216-221, July.
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More about this item
Keywords
Portfolio diversification; Rao's quadratic entropy; diversification return; diversification ratio; portfolio variance normalized; Gini-Simpson index; Markowitz's utility; function; Bouchaud's General free utility;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-05-02 (Risk Management)
- NEP-UPT-2015-05-02 (Utility Models and Prospect Theory)
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