Carmichael, Benoit
[Verfasser:in]
;
Koumou, Gilles Boevi
[Sonstige Person, Familie und Körperschaft];
Moran, Kevin
[Sonstige Person, Familie und Körperschaft]
A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 25, 2015 erstellt
Beschreibung:
This paper proposes a new formulation of the Maximum Diversification indexation strategy based on Rao's Quadratic Entropy (RQE). It clarifies the investment problem underlying the Most Diversified Portfolio (MDP) formed with this strategy, identifies the source of the MDP's out-of-sample performance, and suggests dimensions along which this performance can be improved. We show that these potential improvements are quantitatively important and are robust to portfolio turnover, portfolio risk, estimation window, and covariance matrix estimation