Moran, Kevin; Carmichael, Benoît; Koumou, Gilles Boevi - Centre Interuniversitaire de Recherche en Analyse des … - 2015
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, such as the portfolio variance, the diversification ratio, the … normalized portfolio variance, the diversification return or excess growth rates, the Gini-Simpson indices, the return gaps …