Portfolio Weights of the Lambda-strategy
Given a toymkt and an initial weight vector, the function
GetLambdaWeight computes a matrix of portfolio weights following the lambda strategy.
GetLambdaWeight(market, initial.weight = market$benchmark.weight[1, ], lambda)
the initial portfolio weights. The default is the initial benchmark weights.
a number between 0 and 1.
For details see
GetNewLambdaWeight and Section 6.1 of Pal and Wong (2013). The purpose of this function is analogous to that of
GetWeight, but here the strategy depends on the entire history of market weights.
A matrix of portfolio weights.
Pal, S. and T.-K. L. Wong (2013). Energy, entropy, and arbitrage. arXiv preprint arXiv:1308.5376.
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