ConstantPortfolio: Constant-weighted Portfolio

In RelValAnalysis: Relative Value Analysis

Description

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

Usage

ConstantPortfolio(weight)

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

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

Example output

Loading required package: zoo

Attaching package: 'zoo'

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

    as.Date, as.Date.numeric

RelValAnalysis documentation built on May 2, 2019, 3:09 a.m.