Constant-weighted Portfolio

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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

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

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