Jens Kroeske

Aberdeen Standard Investments

1 George Street

Edinburgh, EH2 2LL

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

An Information-Theoretic Approach to Dimension Reduction of Financial Data

Number of pages: 13 Posted: 04 May 2013 Last Revised: 19 May 2016
Brian Fleming and Jens Kroeske
Aberdeen Standard Investments and Aberdeen Standard Investments
Downloads 352 (82,935)

Abstract:

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Systemic risk, principal component, entropy, effective number, effective support, information theory

2.

Diversification and the Distribution of Portfolio Variance, Part 1: Sums of IID Variables and Higher-Order Moments

Number of pages: 5 Posted: 03 Jan 2018
Brian Fleming and Jens Kroeske
Aberdeen Standard Investments and Aberdeen Standard Investments
Downloads 81 (297,803)

Abstract:

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Portfolio, Diversification, Entropy, Effective Support Size, Higher-Moments, Skew Kurtosis