Benoît Carmichael, Gilles Boevi Koumou, Kevin Moran
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引用次数: 20
Abstract
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.
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.
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