ConstantPortfolio: Constant-weighted Portfolio

Description Usage Arguments Details Value References See Also Examples

View source: R/fgportfolio.R

Description

The function ConstantPortfolio is creates an fgp object representing the constant-weighted portfolio with a given weight vector.

Usage

1

Arguments

weight

a numeric probability vector.

Details

The constant-weighetd portfolio is a functionally generated portfolio generated by the geometric mean (see GeometricMean). One example is the equal-weighted portfolio. The portfolio maintains the same weight in every period.

Value

An fgp object.

References

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

See Also

GeometricMean

Examples

1
2
# Define the constant-weighted portfolio (0.2, 0.3, 0.5) for 3 stocks
portfolio <- ConstantPortfolio(c(0.2, 0.3, 0.5))

RelValAnalysis documentation built on May 19, 2017, 2:02 p.m.

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