This paper uses Rao's Quadratic Entropy (RQE), a general measure of diversity of population, to analyze portfolio diversification. We provide both theoretical and empirical …
In recent years, fused lasso models are becoming popular in several fields, such as computer vision, classification and finance. In portfolio selection, they can be used to …
P Uberti, ML Torrente - Available at SSRN 4953539, 2024 - papers.ssrn.com
In well defined experimental settings, we evaluate the out-of-sample performance of two asset allocation paradigms: minimum risk and maximum diversification. The experiment is …