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The Lexical Ratio: A New Perspective on Portfolio Diversification

https://doi.org/10.2139/ssrn.5014869
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118576618.ch7openalex-snapshot
Elements of Information Theory
inferredcites →https://doi.org/10.1007/978-1-4419-7970-4openalex-snapshot
Entropy and Information Theory
inferredcites →https://doi.org/10.1007/s00780-010-0122-zopenalex-snapshot
On optimal portfolio diversification with respect to extreme risks
inferredcites →https://doi.org/10.1007/s10687-008-0071-5openalex-snapshot
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
inferredcites →https://doi.org/10.1016/j.insmatheco.2010.01.011openalex-snapshot
Risk concentration and diversification: Second-order properties
inferredcites →https://doi.org/10.1016/s0377-0427(00)00429-5openalex-snapshot
Sequential quadratic programming for large-scale nonlinear optimization
inferredcites →https://doi.org/10.1080/07474930801960394openalex-snapshot
Optimal Portfolio Diversification Using the Maximum Entropy Principle
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-snapshot
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1214/21-aos2073openalex-snapshot
A simple measure of conditional dependence
inferredcites →https://doi.org/10.1371/journal.pone.0115742openalex-snapshot
Entropy-Based Financial Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.4149069openalex-snapshot
Diversification quotients: Quantifying diversification via risk measures
inferredcites →https://doi.org/10.3905/jpm.2008.35.1.40openalex-snapshot
Toward Maximum Diversification
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