DiversityPortfolio is creates an
fgp object representing the diversity-weighted portfolio with a given parameter.
DiversityPortfolio(p = 0.5)
a number between 0 and 1. The default value is 0.5.
The diversity-weighetd portfolio is a functionally generated portfolio, see Example 3.4.4 of Fernholz (2002). It is generated by the diversity function (see
Diversity). It can be regarded as an interpolation between the market portfolio (p = 1) and the equal-weighted portfolio (p = 0).
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
# Create a diversity-weighted portfolio with p = 0.7 portfolio <- DiversityPortfolio(p = 0.7)
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