Gilles Boevi Koumou

Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke

2500 bd de l'Universite

Sherbrooke, Québec J1K 2R1

Canada

SCHOLARLY PAPERS

9

DOWNLOADS

470

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (9)

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Risks 2022, 10(11), 205; https://doi.org/10.3390/risks10110205
Number of pages: 19 Posted: 05 Apr 2019 Last Revised: 06 Jan 2023
Gilles Boevi Koumou and Georges Dionne
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and HEC Montreal - Department of Finance
Downloads 184 (290,102)
Citation 1

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portfolio theory; diversification measurement; correlation diversification; diversification ratio; portfolio variance; rank-dependent expected utility theory

Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation

Risks 2022, 10(11), 205; https://doi.org/10.3390/risks10110205
Number of pages: 19 Posted: 21 Sep 2016 Last Revised: 05 Jan 2023
Gilles Boevi Koumou and Georges Dionne
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and HEC Montreal - Department of Finance
Downloads 2 (1,122,068)

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portfolio theory; diversification measurement; correlation diversification, diversification ratio; portfolio variance; rank-dependent expected utility 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, Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and Laval University - Department of Economics
Downloads 127 (395,403)
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, Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and Laval University - Department of Economics

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

3.

Large-Scale Mean-Variance Optimization and Chunking Algorithm

Number of pages: 40 Posted: 11 Jan 2022 Last Revised: 20 Mar 2023
Gilles Boevi Koumou
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke
Downloads 69 (586,560)
Citation 1

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

4.

Weight Bound Constraints in Mean-Variance Models: A Robust Control Theory Foundation Via Machine Learning

Number of pages: 17 Posted: 09 Feb 2022 Last Revised: 20 Mar 2023
Gilles Boevi Koumou
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke
Downloads 54 (662,312)

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

5.

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, Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and Laval University - Department of Economics
Downloads 34 (793,294)

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

6.

Risk Budgeting Using a Generalized Diversity Index

Forthcoming, Journal of Asset Management https://doi.org/10.1057/s41260-023-00326-z
Posted: 13 Sep 2023 Last Revised: 20 Sep 2023
Gilles Boevi Koumou
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke

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Risk Budgeting, Risk Parity, Factor Risk Parity, Hierarchical Risk Parity, Diversification Ratio, Effective Number of Correlated Bets, Risk Diversification, Diversity Index, Rao's Quadratic Entropy

7.

Diversification and Portfolio Theory: A Review

Financial Markets and Portfolio Management volume 34, pages267–312 (2020)
Posted: 28 Oct 2020
Gilles Boevi Koumou
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke

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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
Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke

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Risk, Diversification, Diversification Returns, Mean-Variance Model

9.

Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy

Journal of Quantitative Economics https://doi.org/10.1007/s40953-023-00368-5
Posted: 26 May 2015 Last Revised: 29 Nov 2023
Benoit Carmichael, Gilles Boevi Koumou and Kevin Moran
Université Laval, Chaire Desjardins en Finance Responsable, École de Gestion, Université de Sherbrooke and Laval University - Department of Economics

Abstract:

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