The Diversification Delta: A Different Perspective
指出基于熵的分散化增量（DD）指标的缺陷，并提出基于指数熵的替代指标，该指标能纳入资产收益的高阶矩（如偏度和超额峰度），适用于投资组合优化。
In a 2012 article published in <i>The Journal of Portfolio Management</i>, Vermorken, Medda, and Schröder introduce a new measure of diversification, the <i>Diversification Delta</i> (<i>DD</i>), based on the entropy of the portfolio return distribution. Entropy as a measure of uncertainty has been used successfully in several frameworks and takes into account the entire statistical distribution, rather than just the first two moments. In this article, the authors highlight some drawbacks of the <i>DD</i> measure and go on to propose an alternative measure based on exponential entropy that overcomes the identified shortcomings. The authors present the properties of this new measure and propose it as an alternative for portfolio optimization that incorporates higher moments of asset returns, such as skewness and excess kurtosis. <b>TOPICS:</b>Portfolio theory, statistical methods