Rao’s quadratic entropy and maximum diversification indexation

DOI10.1080/14697688.2017.1383625zbMath1400.91532OpenAlexW2769183000MaRDI QIDQ4554479

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)

Related Items (2)

Measuring technological breadth and depth of patent documents using Rao’s Quadratic Entropy ⋮ Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Applications of entropy in finance: a review
• Biological diversity: distinct distributions can lead to the maximization of Rao's quadratic entropy
• Towards a unifying approach to diversity measures: bridging the gap between the Shannon entropy and Rao's quadratic index
• Diversity and dissimilarity coefficients: A unified approach
• Necessary and sufficient conditions for a quadratic form to be positive whenever a set of homogeneous linear constraints is satisfied
• Risk-based approaches to asset allocation. Concepts and practical applications
• Measuring diversity from dissimilarities with Rao's quadratic entropy: are any dissimilarities suitable?
• Robust risk measurement and model risk
• Prospect Theory: Much Ado About Nothing?
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Hypothesis testing with Rao's quadratic entropy and its application to Dinosaur biodiversity
• Cross entropy, dissimilarity measures, and characterizations of quadratic entropy
• Prospect Theory: An Analysis of Decision under Risk
• Risk parity portfolios with risk factors
• Portfolio performance evaluation with loss aversion

This page was built for publication: Rao’s quadratic entropy and maximum diversification indexation