EntropyPortfolio: Entropy-weighted Portfolio
In RelValAnalysis: Relative Value Analysis
Description
Usage
Details
Value
References
See Also
Description
EntropyPortfolio is a predefiend fgp object representing the entropy-weighted portfolio.
Usage
1
Details
The entropy-weighted portfolio is a functionally generated portfolio generated by the Shannon entropy (see ShannonEntropy). See Example 3.1.2 of Fernholz (2002).
Value
An fgp object.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
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Description Usage Details Value References See Also
Description
EntropyPortfolio is a predefiend fgp object representing the entropy-weighted portfolio.
Usage
1 |
Details
The entropy-weighted portfolio is a functionally generated portfolio generated by the Shannon entropy (see ShannonEntropy). See Example 3.1.2 of Fernholz (2002).
Value
An fgp object.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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