据MS官网显示，来自南开大学的韩霞、莫纳什大学的Liyuan Lin和滑铁卢大学的Ruodu Wang，合作撰写的论文“Diversification Quotients: Quantifying Diversification via Risk Measures”，在国际管理学顶刊《Management Science 》线上正式发表。
Title: Diversification Quotients: Quantifying Diversification via Risk Measures
多样化商：通过风险度量量化多元化
韩霞
南开大学 数学科学学院
Liyuan Lin
莫纳什大学
王若度
加拿大滑铁卢大学
We establish the first axiomatic theory for diversification indices using six intuitive axioms: nonnegativity, 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 DQs based on coherent risk measures. The DQ has many attractive properties, and it can address several theoretical and practical limitations of existing indices. In particular, for the popular risk measures value at risk and expected shortfall, the corresponding DQ admits simple formulas, and it is efficient to optimize in portfolio selection. Moreover, it can properly capture tail heaviness and common shocks, which are neglected by traditional diversification indices. When illustrated with financial data, the DQ is intuitive to interpret, and its performance is competitive against other diversification indices.
本文建立了第一个基于公理的多元化指数理论，使用了六个直观的公理：非负性、位置不变性、规模不变性、理性、规范化和连续性。满足这些公理的唯一指数类被称为多样化商（diversification quotients，简称DQs），其定义基于一类参数化的风险度量。进一步的投资组合凸性公理确定了基于一致性风险度量的多元化系数。DQs具有许多吸引人的特性，并且能够解决现有指数的若干理论和实际局限性。特别地，对于流行的风险度量——风险价值（VaR）和预期短缺（ES），相应的DQs具有简单的公式，并且在投资组合选择中优化效率高。此外，DQs能够恰当地捕捉尾重和共同冲击，而传统的多元化指数则忽略了这些因素。当使用金融数据进行说明时，DQs具有直观的解释性，并且其表现与其他多元化指数竞争力强。
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