Managing Diversification

Meucci, A. (2009). Managing Diversification. Risk.

Type

Preprint

Intellectual base

Grey literature

Year

2009

Link

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533

Cited from

statistics_experimental_design

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Apparent Variety Masks Shared Driver
  • Effective ensemble size, effective number of independent sources, effective N in reliability analysis, factor-model R-squared in finance, common-mode failure probability, corroboration depth, and source diversity versus source count

    This sourceIntroduces the 'effective number of bets' — the entropy of a portfolio's distribution of exposure to uncorrelated factors — operationalizing the count of genuinely independent drivers behind apparent surface diversification (the effective-number-of-independent-units measure family).

Verification

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Registry ID ref:443f98d81053 · see in the full table