We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these axioms, called the diversification quotients (DQs), are defined based on a parametric family of risk measures. A further axiom of portfolio convexity pins down DQ based on coherent risk measures. DQ has many attractive properties, and it can address several theoretical and practical limitations of existing indices.

报告人简介： 林荔圆，硕士毕业于中央财经大学，博士毕业于滑铁卢大学统计与精算系，现任莫纳什大学计量经济学与商业统计系副教授。研究方向为保险精算和金融数学。