Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy

Benoît Carmichael (), Gilles Boevi Koumou () and Kevin Moran
Additional contact information
Benoît Carmichael: Université Laval
Gilles Boevi Koumou: Université de Sherbrooke

Journal of Quantitative Economics, 2023, vol. 21, issue 4, No 3, 769-802

Abstract: 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.

Keywords: Diversity index; Rao’s Quadratic Entropy; Portfolio diversification; Correlation diversification; Diversification return; Diversification ratio; Mean-variance model (search for similar items in EconPapers)
JEL-codes: C1 C4 D81 G1 G11 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40953-023-00368-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy (2015)
Working Paper: Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy (2015)
Working Paper: Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jqecon:v:21:y:2023:i:4:d:10.1007_s40953-023-00368-5

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40953

DOI: 10.1007/s40953-023-00368-5

Access Statistics for this article

Journal of Quantitative Economics is currently edited by Dilip Nachane and P.G. Babu

More articles in Journal of Quantitative Economics from Springer, The Indian Econometric Society (TIES) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().