Jens Kroeske

Aberdeen Standard Investments

1 George Street

Edinburgh, EH2 2LL

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

662

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

An Information-Theoretic Approach to Dimension Reduction of Financial Data

Number of pages: 13 Posted: 04 May 2013 Last Revised: 02 Jun 2020
Brian Fleming and Jens Kroeske
Dimensionless Ltd and Aberdeen Standard Investments
Downloads 398 (93,812)

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 2: Volatility Stability as a Measure of Diversification

Number of pages: 10 Posted: 30 Jul 2020 Last Revised: 10 Aug 2021
Brian Fleming and Jens Kroeske
Dimensionless Ltd and Aberdeen Standard Investments
Downloads 143 (254,598)

Abstract:

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Portfolio Diversification, Higher-Order Moments, Variance of Variance, Kurtosis, Dimensionality, Minimum Variance, Diversification Ratio, Risk Parity

3.

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 Last Revised: 08 Jul 2020
Brian Fleming and Jens Kroeske
Dimensionless Ltd and Aberdeen Standard Investments
Downloads 121 (289,125)
Citation 1

Abstract:

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Portfolio diversification, Entropy, Effective support size, Higher-order moments, Skewness, Kurtosis