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Concentration, Information, and Distributional Stability in High-Dimensional Portfolios: A Talagrand Stability Index

Irina Georgescu1, Jani Kinnunen2

  • 1Department of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Calea Dorobanți, 15-17, Sector 1, 010552 Bucharest, Romania.

Entropy (Basel, Switzerland)
|July 28, 2026
PubMed
Summary

High-dimensional financial portfolios become more stable with increased size, showing reduced risk and better diversification. However, heavy-tailed returns decrease stability compared to Gaussian returns.

Keywords:
Talagrand Stability IndexWasserstein distanceconcentration inequalitieshigh-dimensional portfoliosmutual informationportfolio diversification

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