f_diversification_measurement: Function computing portfolio diversification measures

In DiversificationR: Econometric Tools to Measure Portfolio Diversification

Description

This function computes several portfolio diversification measures: Portfolio Diversification Index (PDI), Diversification Ratio (DR), Diversification Delta (DD) and Diversification Delta Star (DD*).

Usage

f_diversification_measurement(v_input_weights, m_input_returns, c_input_method)

Arguments

v_input_weights	A vector of numerical values (asset weights)
m_input_returns	A matrix of numerical values (asset returns)
c_input_method	A character value (name of the diversification measure)

Value

result

A numeric value

Author(s)

Jean-Baptiste Hasse

References

Rudin, Alexander M. "A portfolio diversification index." The Journal of Portfolio Management 32.2 (2006): 81-89.

Choueifaty, Yves, and Yves Coignard. "Toward maximum diversification." The Journal of Portfolio Management 35.1 (2008): 40-51.

Vermorken, Maximilian A., Francesca R. Medda, and Thomas Schroder. "The diversification delta: A higher-moment measure for portfolio diversification." The Journal of Portfolio Management 39.1 (2012): 67-74.

Flores, Yuri Salazar, et al. "The diversification delta: A different perspective." The Journal of Portfolio Management 43.4 (2017): 112-124.

Examples

# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")
  m_assets_returns <- data_efficient_portfolios_returns
  number_assets <- length(m_assets_returns[1,])
  v_weights <- rep(1/number_assets, number_assets)

  # Portfolio Diversification Index (PDI)
  f_diversification_measurement(v_weights, m_assets_returns, "Portfolio_Diversification_Index")

  # Diversification Ratio (DR)
  f_diversification_measurement(v_weights, m_assets_returns, "Diversification_Ratio")

  # Diversification Delta (DD)
  f_diversification_measurement(v_weights, m_assets_returns, "Diversification_Delta")

  # Diversification Delta Star (DD*)
  f_diversification_measurement(v_weights, m_assets_returns, "Diversification_Delta_Star")

# }

DiversificationR documentation built on Feb. 11, 2021, 5:05 p.m.