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Search: subject:"diversification ratio"
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Portfolio selection
6
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Diversification
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Diversifikation
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diversification ratio
4
Diversification ratio
3
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ASEAN Economic Community
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dynamic portfolio
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emerging market
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portfolio
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ASEAN countries
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Bouchaud's General free utility
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Capital income
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Diversification return
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Effective number of correlated bets
1
Emerging economies
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Estimation theory
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Factor risk parity
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Gini-Simpson index
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Hierarchical risk parity
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Kapitaleinkommen
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Koumou, Gilles Boevi
4
Carmichael, Benoît
3
Moran, Kevin
3
Frensidy, Budi
2
Handriani, Eka
2
Nugroho, Bayu Adi
2
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2
Li, Lujun
1
Mehta, Navya Jayesh
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Sun, Liulei
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Xie, Jiehua
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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ECONIS (ZBW)
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1
Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective
Robiyanto, Robiyanto
;
Nugroho, Bayu Adi
;
Handriani, Eka
; …
- In:
Cogent Business & Management
10
(
2023
)
1
,
pp. 1-20
, Granger causality and
diversification
ratio
from the mean-variance framework. The results showed robust evidence that there …
Persistent link: https://www.econbiz.de/10014527800
Saved in:
2
Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio's perspective
Robiyanto, Robiyanto
;
Nugroho, Bayu Adi
;
Handriani, Eka
; …
- In:
Cogent business & management
10
(
2023
)
1
,
pp. 1-20
, Granger causality and
diversification
ratio
from the mean-variance framework. The results showed robust evidence that there …
Persistent link: https://www.econbiz.de/10014460813
Saved in:
3
Unifying portfolio diversification measures using Rao's quadratic entropy
Carmichael, Benoît
;
Koumou, Gilles Boevi
;
Moran, Kevin
- In:
Journal of quantitative economics
21
(
2023
)
4
,
pp. 769-802
Persistent link: https://www.econbiz.de/10014518461
Saved in:
4
Portfolio optimization for extreme risks with maximum diversification : an empirical analysis
Mehta, Navya Jayesh
;
Yang, Fan
- In:
Risks : open access journal
10
(
2022
)
5
,
pp. 1-26
huge losses for financial institutions.
Diversification
ratio
(DR) measures the degree of diversification using the Value …
Persistent link: https://www.econbiz.de/10013358817
Saved in:
5
Risk budgeting using a generalized diversity index
Koumou, Gilles Boevi
- In:
The journal of asset management : a major new, …
24
(
2023
)
6
,
pp. 443-458
Persistent link: https://www.econbiz.de/10014419523
Saved in:
6
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
7
Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy
Moran, Kevin
;
Carmichael, Benoît
;
Koumou, Gilles Boevi
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2015
that portfolio's RQE can encompass most existing measures, such as the portfolio variance, the
diversification
ratio
, the …
Persistent link: https://www.econbiz.de/10011261636
Saved in:
8
Rao's quadratic entropy and maximum diversification indexation
Carmichael, Benoît
;
Koumou, Gilles Boevi
;
Moran, Kevin
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1017-1031
Persistent link: https://www.econbiz.de/10011911262
Saved in:
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