Moran, Kevin; Carmichael, Benoît; Koumou, Gilles Boevi - Centre Interuniversitaire de Recherche en Analyse des … - 2015
This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE of a portfolio is a valid, exible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing measures,...