Brian Fleming

Aberdeen Standard Investments

6 St Andrew Square

Edinburgh, EH2 2BD

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

437

CITATIONS

0

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 354 (82,792)

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 83 (294,739)

Abstract:

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