CapDistSlope: Slope of a Capital Distribution Curve
In RelValAnalysis: Relative Value Analysis

Description Usage Arguments Details Value References See Also Examples

The function CapDistSlope computes the slope of a capital distribution curve.

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## S3 method for class "capdist"

CapDistSlope(x, cut.end = 0.1)

`x`	a `capdist` object.
`cut.end`	A number between 0 and 1. It is the proportion of the smallest assets that will be ignored when fitting a straight line to the capital distribution curve. The default value is 0.1.

If the capital distribution curve is a straight line, we say that the capital distribution follows a Pareto distribution. Empirically, a lot of capital distribution curves are approximately Pareto shaped.

The slope is estimated by ordinary least squares after removing the smallest cut.end proportion of the weights.

The slope.

Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.

capdist

# Create a random distribution
x <- runif(100)
x <- x/sum(x)
x <- capdist(x)
CapDistSlope(x)

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

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