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  • Search: subject:"Rao's Quadratic Entropy"
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Year of publication
Subject
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Capital income 3 Correlation 3 Entropie 3 Entropy 3 Kapitaleinkommen 3 Korrelation 3 Portfolio selection 3 Portfolio-Management 3 Rao's Quadratic Entropy 3 Theorie 3 Theory 3 Börsenkurs 2 CAPM 2 Capital Asset Pricing Model 2 Estimation 2 Idiosyncratic Risk 2 Mean-Variance Model 2 Portfolio diversification 2 Risiko 2 Risk 2 Schätzung 2 Share price 2 Bouchaud's General free utility 1 Correlation Diversiffcation 1 Correlation Diversification 1 Correlation diversification 1 Diversification 1 Diversification ratio 1 Diversification return 1 Diversifikation 1 Diversity index 1 Gini-Simpson index 1 Markowitz's utility 1 Mean-variance model 1 Portfoliodiversifikation 1 Rao's quadratic entropy 1 diversification ratio 1 diversification return 1 function 1 portfolio variance normalized 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 3 Article 1
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3 Undetermined 1
Author
All
Carmichael, Benoît 4 Koumou, Gilles Boevi 4 Moran, Kevin 4
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1 Cahier de recherche 1 Cahier scientifique 1 Journal of quantitative economics 1
Source
All
ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
Cover Image
Unifying portfolio diversification measures using Rao's quadratic entropy
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Journal of quantitative economics 21 (2023) 4, pp. 769-802
Persistent link: https://www.econbiz.de/10014518461
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Cover Image
The RQE-CAPM : new insights about the pricing of idiosyncratic risk
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2021
Persistent link: https://www.econbiz.de/10012617477
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Cover Image
The RQE-CAPM : new insights about the pricing of idiosyncratic risk
Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2021
Persistent link: https://www.econbiz.de/10012617687
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Cover Image
Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy
Moran, Kevin; Carmichael, Benoît; Koumou, Gilles Boevi - Centre Interuniversitaire de Recherche en Analyse des … - 2015
This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE of a portfolio is a valid, exible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing measures,...
Persistent link: https://www.econbiz.de/10011261636
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