divHHI: HHI Based Diversification Index
In PCRA: Companion to Portfolio Construction and Risk Analysis
divHHI R Documentation
HHI Based Diversification Index
Description
divHHI calculates a portfolio diversification index DIV. The DIV
is equal to 1 minus the Herfindahl-Hirschman Index (HHI), which is defined
as the sum of the squared portfolio weights. The maximum HHI of a long-only
portfolio is 1, which occurs when all of the portfolio's investment is in a
single asset, and correspondingly HHI = 0.
Usage
divHHI(weights)
Arguments
weights
A numeric vector of portfolio weights
Value
a zoo time series object containing portfolio diversification values
Examples
args(divHHI)
PCRA documentation built on Aug. 30, 2023, 9:09 a.m.
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| divHHI | R Documentation |
HHI Based Diversification Index
Description
divHHI calculates a portfolio diversification index DIV. The DIV is equal to 1 minus the Herfindahl-Hirschman Index (HHI), which is defined as the sum of the squared portfolio weights. The maximum HHI of a long-only portfolio is 1, which occurs when all of the portfolio's investment is in a single asset, and correspondingly HHI = 0.
Usage
divHHI(weights)
Arguments
weights |
A numeric vector of portfolio weights |
Value
a zoo time series object containing portfolio diversification values
Examples
args(divHHI)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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