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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
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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
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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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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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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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Hierarchical risk budgeting
Koumou, Gilles Boevi - In: The journal of financial data science 6 (2024) 2, pp. 35-53
Persistent link: https://www.econbiz.de/10015195585
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Mean-variance model and investors' diversification attitude : a theoretical revisit
Koumou, Gilles Boevi - In: Finance research letters 37 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012484898
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Diversification and portfolio theory: a review
Koumou, Gilles Boevi - In: Financial markets and portfolio management 34 (2020) 3, pp. 267-312
Persistent link: https://www.econbiz.de/10012289665
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Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Koumou, Gilles Boevi - In: Quantitative finance 24 (2024) 6, pp. 719-733
Persistent link: https://www.econbiz.de/10015050790
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Risk budgeting using a generalized diversity index
Koumou, Gilles Boevi - In: The journal of asset management : a major new, … 24 (2023) 6, pp. 443-458
Persistent link: https://www.econbiz.de/10014419523