Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy
Author:
Affiliation:
1. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong.
Funder
Hong Kong Polytechnic University
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Reference27 articles.
1. Euclidean Distance Matrices and Their Applications in Rigidity Theory
2. Diversification Returns and Asset Contributions
3. Rao’s quadratic entropy and maximum diversification indexation
4. The Limitations of Diversification Return
5. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Machine Learning Approaches for Enhanced Portfolio Optimization: A Comparative Study of Regularization and Cross-Validation Techniques;2024 11th International Conference on Computing for Sustainable Global Development (INDIACom);2024-02-28
2. Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy;Journal of Quantitative Economics;2023-11-23
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