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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

Unifying portfolio diversification measures using Rao's quadratic entropy

Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - 2015

Persistent link: https://www.econbiz.de/10011411307

Rao's quadratic entropy and maximum diversification indexation

Carmichael, Benoît; Koumou, Gilles Boevi; Moran, Kevin - In: Quantitative finance 18 (2018) 6, pp. 1017-1031

Persistent link: https://www.econbiz.de/10011911262

Coherent diversification measures in portfolio theory : an axiomatic foundation

Koumou, Gilles Boevi; Dionne, Georges - 2019

Persistent link: https://www.econbiz.de/10012139165

Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy

Carmichael, Benoit - 2018

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, flexible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing...

Persistent link: https://www.econbiz.de/10012937258

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