Uniqueness of concentration index

Yimin Yang ()
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Yimin Yang: Protiviti Inc., 1290 6th Ave, New York, NY 10104, USA

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 02, 1-9

Abstract: This paper establishes axioms for concentration index (CI) and its allocation function. It proves that the Herfindahl index (HI) and the square allocation function are the only one that satisfies these rules.

Keywords: Risk Concentration; concentration index; allocation method; Herfindahl index (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:jfexxx:v:01:y:2014:i:02:n:s2345768614500202

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DOI: 10.1142/S2345768614500202

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