- N - number of positions in a portfolio
- $ 1 / \sum_{} w^2_i $ - number of "effective positions"
- Herfindahl Index = $ \sum_{} w^2_i $ - concentration in exposures
- Gini Index - another way to express concentration in exposures
- Standard deviation of portfolio constituent weights - dispersion of exposures
- Shannon entropy of portfolio constituent weights - since weights have the properties of a probability, Shannon entropy can be used as a dispersion measure
- Shannon entropy of Diversification index - see A. Meucci
- Diversification Ratio - portfolio volatility calculated with a correlation matrix of ones divided by actual portfolio volatility
- Diversification Index - inverse of the diversification ratio, Tasche(2008).
- Degree of Diversification - portfolio volatility of the global minimum variance portfolio divided by actual portfolio volatility
- % of idiosyncratic risk - residual risk measured in the context of a single- or multiple-factor model
- % of total variability explained by first principal component - dependence on a single-most important factor

## Friday, 13 December 2013

### Diversification Measures

Below a (growing) list of diversification measures...

Subscribe to:
Post Comments (Atom)

## No comments:

## Post a Comment