DiversityPortfolio: Diversity-weighted Portfolio

In RelValAnalysis: Relative Value Analysis

Description

The function DiversityPortfolio is creates an fgp object representing the diversity-weighted portfolio with a given parameter.

Usage

DiversityPortfolio(p = 0.5)

Arguments

p	a number between 0 and 1. The default value is 0.5.

Details

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).

Value

An fgp object.

References

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

See Also

Diversity

Examples

# Create a diversity-weighted portfolio with p = 0.7
portfolio <- DiversityPortfolio(p = 0.7)

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.