Portfolio Weights of the Lambda-strategy

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Description

Given a toymkt and an initial weight vector, the function GetLambdaWeight computes a matrix of portfolio weights following the lambda strategy.

Usage

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GetLambdaWeight(market, initial.weight = market$benchmark.weight[1, ], lambda)

Arguments

market

a toymkt object with toymkt$buy.and.hold = TRUE.

initial.weight

the initial portfolio weights. The default is the initial benchmark weights.

lambda

a number between 0 and 1.

Details

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.

Value

A matrix of portfolio weights.

References

Pal, S. and T.-K. L. Wong (2013). Energy, entropy, and arbitrage. arXiv preprint arXiv:1308.5376.

See Also

GetNewLambdaWeight, EnergyEntropyDecomp

Examples

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data(applestarbucks)
market <- toymkt(applestarbucks)
weight <- GetLambdaWeight(market, initial.weight = c(0.5, 0.5), lambda = 0.2)
decomp <- EnergyEntropyDecomp(market, weight, plot = TRUE)

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