Risk budgeting using a generalized diversity index
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DOI: 10.1057/s41260-023-00326-z
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More about this item
Keywords
Risk budgeting; Risk parity; Factor risk parity; Hierarchical risk parity; Diversification ratio; Effective number of correlated bets; Risk diversification; Diversity index; Rao’s quadratic entropy;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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