GeometricMean: Geometric Mean
In RelValAnalysis: Relative Value Analysis
Description
Usage
Arguments
Details
Value
References
See Also
Examples
Description
The function GeometricMean computes the geometric mean of non-negative numbers with a given weight.
Usage
1
GeometricMean(x, weight = rep(1/length(x), length(x)))
Arguments
x
a numeric vector with non-negative entries.
weight
a numeric probability vector. The default value is the vector with equal weights.
Details
The geometric mean is used in stochastic portfolio theory as the generating function of the constant-weighted portfolio. See Example 3.1.6 of Fernholz (2002).
Value
A number.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
Examples
1
2
3
x <- c(0.3, 0.7)
weight <- c(0.6, 0.4)
GeometricMean(x, weight)
RelValAnalysis documentation built on May 2, 2019, 3:09 a.m.
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Description Usage Arguments Details Value References See Also Examples
Description
The function GeometricMean computes the geometric mean of non-negative numbers with a given weight.
Usage
1 | GeometricMean(x, weight = rep(1/length(x), length(x)))
|
Arguments
x |
a numeric vector with non-negative entries. |
weight |
a numeric probability vector. The default value is the vector with equal weights. |
Details
The geometric mean is used in stochastic portfolio theory as the generating function of the constant-weighted portfolio. See Example 3.1.6 of Fernholz (2002).
Value
A number.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
Examples
1 2 3 | x <- c(0.3, 0.7)
weight <- c(0.6, 0.4)
GeometricMean(x, weight)
|
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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