Gilles Boevi Koumou

Université Mohammed VI Polytechnique

Rabat

Morocco

SCHOLARLY PAPERS

8

DOWNLOADS

545

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy

CRREP Working Paper 2015-02
Number of pages: 63 Posted: 26 May 2015 Last Revised: 15 Mar 2022
Benoit Carmichael, Gilles Boevi Koumou and Kevin Moran
Université Laval, Université Mohammed VI Polytechnique and Laval University - Department of Economics
Downloads 269 (159,524)
Citation 8

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Rao's Quadratic Entropy, Portfolio Diversification, Correlation Diversification, Quadratic Utility Theory

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Number of pages: 37 Posted: 05 Apr 2019
Gilles Boevi Koumou and Georges Dionne
Université Mohammed VI Polytechnique and HEC Montreal - Department of Finance
Downloads 132 (301,539)
Citation 1

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portfolio theory, portfolio diversification, preference for diversification, correlation diversification, expected utility theory, dual theory

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Posted: 21 Sep 2016 Last Revised: 27 Mar 2019
Gilles Boevi Koumou and Georges Dionne
Université Mohammed VI Polytechnique and HEC Montreal - Department of Finance

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Portfolio Theory, Portfolio Diversification, Preference for Diversification, Correlation Diversification, Expected Utility Theory, Dual Theory

A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy

CRREP working paper 2015-09
Number of pages: 27 Posted: 30 Mar 2018
Benoit Carmichael, Gilles Boevi Koumou and Kevin Moran
Université Laval, Université Mohammed VI Polytechnique and Laval University - Department of Economics
Downloads 79 (423,240)
Citation 1

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Rao’s Quadratic Entropy, Portfolio Diversification, Maximum Diversification Indexation, Diversification Ratio, Most Diversified Portfolio

Rao’s Quadratic Entropy and Maximum Diversification Indexation

CARMICHAEL, Benoît, KOUMOU, Gilles Boevi, et MORAN, Kevin. Rao’s quadratic entropy and maximum diversification indexation. Quantitative Finance, 2018, vol. 18, no 6, p. 1017-1031.
Posted: 08 Mar 2017 Last Revised: 27 Mar 2019
Benoit Carmichael, Gilles Boevi Koumou and Kevin Moran
Université Laval, Université Mohammed VI Polytechnique and Laval University - Department of Economics

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Rao’s Quadratic Entropy, Portfolio Diversification, Maximum Diversification Indexation, Diversification Ratio, Most Diversified Portfolio

4.

Large-Scale Mean-Variance Optimization and Chunking Algorithm

Number of pages: 38 Posted: 11 Jan 2022
Gilles Boevi Koumou
Université Mohammed VI Polytechnique
Downloads 27 (650,258)

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Mean-Variance Optimization, One-Class Classification, Machine Learning, Support Vector Machine, Support Vector Data Description, Chunking Algorithm, Quadratic Programming

5.

Weight Bound Constraints in Mean-Variance Models: A Re-examination Based on Machine Learning

Number of pages: 37 Posted: 09 Feb 2022
Gilles Boevi Koumou
Université Mohammed VI Polytechnique
Downloads 21 (694,890)

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Mean-Variance Models, Weights Constraints, Estimation Error, Machine Learning, One-Class Classification, Support Vector Data Description, Robust Control Theory.

6.

The RQE-CAPM: New Insights About the Pricing of Idiosyncratic Risk

Number of pages: 35 Posted: 16 Mar 2022
Benoit Carmichael, Gilles Boevi Koumou and Kevin Moran
Université Laval, Université Mohammed VI Polytechnique and Laval University - Department of Economics
Downloads 17 (727,094)

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Rao's Quadratic Entropy, Mean-Variance Model, Capital Asset Pricing Model, Idiosyncratic Risk, Correlation Diversiffcation

7.

Diversification and Portfolio Theory: A Review

Financial Markets and Portfolio Management volume 34, pages267–312 (2020)
Posted: 28 Oct 2020
Gilles Boevi Koumou
Université Mohammed VI Polytechnique

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Diversification, Portfolio Theory, Law of Large Numbers, Correlation, Capital Asset Pricing Model, Risk Contribution, Risk Parity, Asset Pricing Theory, Expected Utility Theory

8.

Mean-Variance Model And Investors’ Diversification Attitude: A Theoretical Revisit

Finance Research Letters, Forthcoming
Posted: 27 Jul 2016 Last Revised: 18 Nov 2019
Gilles Boevi Koumou
Université Mohammed VI Polytechnique

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Risk, Diversification, Diversification Returns, Mean-Variance Model