摘要翻译：
在市场上，多样化减少了风险，并通过确保一个人不会过度暴露于个别事件来防止极端事件的发生。本文认为分散投资的最佳度量方法是组合资产组合的特征，并引入了基于组合资产价值概率分布的信息熵的度量方法。对于高斯资产，度量是方差的对数函数，将方差相等的独立高斯资产组合起来，可以增加多样化的数量。这一措施的优点包括，它自然地延伸到任何类型的分布，并考虑到所有时刻。此外，它可以用于未定义权重（零成本资产）或矩的情况。我们给出了将该测度应用于导数覆盖的例子。
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英文标题：
《Measuring Portfolio Diversification》
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作者：
Ulrich Kirchner, Caroline Zunckel
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the combined portfolio of assets and introduce a measure based on the information entropy of the probability distribution for the final portfolio asset value. For Gaussian assets the measure is a logarithmic function of the variance and combining independent Gaussian assets of equal variance adds an amount to the diversification. The advantages of this measure include that it naturally extends to any type of distribution and that it takes all moments into account. Furthermore, it can be used in cases of undefined weights (zero-cost assets) or moments. We present examples which apply this measure to derivative overlays.
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PDF链接：
https://arxiv.org/pdf/1102.4722