利用Rao的二次熵统一投资组合多样化测度

IF 0.7 Q3 ECONOMICS

JOURNAL OF QUANTITATIVE ECONOMICS Pub Date : 2023-11-23 DOI:10.1007/s40953-023-00368-5

Benoît Carmichael, Gilles Boevi Koumou, Kevin Moran

引用次数: 20

摘要

本文利用Rao的二次熵(RQE)这一总体多样性的一般度量来分析投资组合的多样化。我们提供了理论和实证证据，证明RQE是一种有效、灵活和统一的量化和管理投资组合相关多样化收益的方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy

查看原文本刊更多论文

Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy

This paper uses Rao’s Quadratic Entropy (RQE), a general measure of diversity of population, to analyze portfolio diversification. We provide both theoretical and empirical evidence that RQE is a valid, flexible and unifying approach for quantifying and managing the benefits of portfolio correlation diversification.

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来源期刊

JOURNAL OF QUANTITATIVE ECONOMICS ECONOMICS-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Quantitative Economics (JQEC) is a refereed journal of the Indian Econometric Society (TIES). It solicits quantitative papers with basic or applied research orientation in all sub-fields of Economics that employ rigorous theoretical, empirical and experimental methods. The Journal also encourages Short Papers and Review Articles. Innovative and fundamental papers that focus on various facets of Economics of the Emerging Market and Developing Economies are particularly welcome. With the help of an international Editorial board and carefully selected referees, it aims to minimize the time taken to complete the review process while preserving the quality of the articles published.