Econometric Tools to Measure Portfolio Diversification

Diversification is one of the most important concepts in portfolio management. This framework offers scholars, practitioners and policymakers a useful toolbox to measure diversification. Specifically, this framework provides recent diversification measures from the recent literature. These diversification measures are based on the works of Rudin and Morgan (2006) , Choueifaty and Coignard (2008) , Vermorken et al. (2012) , Flores et al. (2017) , Calvet et al. (2007) , and Candelon, Fuerst and Hasse (2020).