diversification: Function to compute diversification as a constraint

View source: R/constraintsFUN.R

diversificationR Documentation

Function to compute diversification as a constraint

Description

Diversification is defined as 1 minus the sum of the squared weights

diversification = 1 - sum(w^2)

Usage

diversification(weights)

Arguments

weights

vector of asset weights

Author(s)

Ross Bennett


PortfolioAnalytics documentation built on July 4, 2024, 1:06 a.m.