Diversification and portfolio theory: a review GB Koumou Financial Markets and Portfolio Management 34 (3), 267-312, 2020 | 59 | 2020 |
Unifying portfolio diversification measures using Rao’s quadratic entropy B Carmichael, GB Koumou, K Moran Journal of Quantitative Economics 21 (4), 769-802, 2023 | 35 | 2023 |
Rao’s quadratic entropy and maximum diversification indexation B Carmichael, GB Koumou, K Moran Quantitative Finance 18 (6), 1017-1031, 2018 | 12 | 2018 |
Coherent diversification measures in portfolio theory: An axiomatic foundation GB Koumou, G Dionne Risks 10 (11), 205, 2022 | 11 | 2022 |
Risk budgeting using a generalized diversity index GB Koumou Journal of Asset Management 24 (6), 443-458, 2023 | 2 | 2023 |
Mean-variance model and investors’ diversification attitude: A theoretical revisit GB Koumou Finance Research Letters 37, 101360, 2020 | 2 | 2020 |
A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy B Carmichael, GB Koumou, K Moran CRREP working paper 2015-09, 2015 | 2 | 2015 |
Weight Bound Constraints in Mean-Variance Models: A Re-examination Based on Machine Learning GB Koumou SSRN, 2022 | 1 | 2022 |
Large-Scale Mean-Variance Optimization and Chunking Algorithm GB Koumou https://www.researchgate.net/publication/356617632_Large-Scale_Mean …, 2021 | 1 | 2021 |
Machine Learning and Risk Management: SVDD Meets RQE G Dionne, GB Koumou HEC Montreal, Canada Research Chair in Risk Management Working Papers, 2018 | 1 | 2018 |
Hierarchical Risk Budgeting GB Koumou The Journal of Financial Data Science, 2024 | | 2024 |
Mean-variance model and investors diversification attitude: A theoretical revisit (vol 37, pg 1, 2020) GB Koumou FINANCE RESEARCH LETTERS 46, 2022 | | 2022 |
Corrigendum to ‘Mean-variance model and investors diversification attitude: A theoretical revisit’[Finance Research Letters 37 (2020) 1–7/Article 101360] GB Koumou Finance Research Letters 46, 102225, 2022 | | 2022 |
The RQE-CAPM: New insights about the pricing of idiosyncratic risk B Carmichael, GB Koumou, K Moran Available at SSRN 4026448, 2022 | | 2022 |
Weight Bound Constraints in Mean-Variance Models: A Robust Control Theory Foundation GB Koumou Available at SSRN 4027548, 2021 | | 2021 |
The political reception of innovations B Carmichael, GB Koumou, K Moran Centre de recherche sur les risques, les enjeux économiques, et les …, 2021 | | 2021 |
Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit GB Koumou arXiv preprint arXiv:1608.05024, 2016 | | 2016 |
Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy GB Koumou, K Moran Centre de recherche sur les risques, les enjeux économiques, et les …, 2015 | | 2015 |
A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy GB Koumou, K Moran Centre de recherche sur les risques, les enjeux économiques, et les …, 2015 | | 2015 |
Weight Bound Constraints in Mean-Variance Models: A Robust Control Theory Foundation Via Machine Learning GB KOUMOU | | |