Rao's quadratic entropy and maximum diversification indexation

DOI10.1080/14697688.2017.1383625MaRDI QIDQ4554479zbMATH OpenOpenAlexFDO

Authors Benoît Carmichael, Gilles Boevi Koumou, Kevin M. Moran

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1383625

zbMATH Keywords

diversification ratioportfolio diversificationRao's quadratic entropymost diversified portfoliomaximum diversification indexation

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Measuring diversity from dissimilarities with Rao's quadratic entropy: are any dissimilarities suitable?
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• Portfolio performance evaluation with loss aversion
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory: much ado about nothing?
• Risk parity portfolios with risk factors
• Risk-based approaches to asset allocation. Concepts and practical applications
• Robust risk measurement and model risk
• Towards a unifying approach to diversity measures: bridging the gap between the Shannon entropy and Rao's quadratic index

Cited in

(4)

• Diversified portfolios with different entropy measures
• Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy
• Measuring technological breadth and depth of patent documents using Rao’s Quadratic Entropy
• Optimal Portfolio Diversification Using the Maximum Entropy Principle

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