CUTTING EDGE - Investment management - Managing diversification - The author introduces a diversification index that represents the effective number of bets in a portfolio. With this index, based on entropy and constrained principal component analysis, he performs mean-diversification management adjusted for transaction costs using a parsimonious set of optimal trades.
| Year of publication: |
2009
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|---|---|
| Authors: | Meucci, Attilio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 5, p. 74-79
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