Description Usage Arguments Details Value References See Also Examples

View source: R/energyentropy.R

Given a toymkt and an initial weight vector, the function `GetLambdaWeight`

computes a matrix of portfolio weights following the lambda strategy.

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

`market` |
a |

`initial.weight` |
the initial portfolio weights. The default is the initial benchmark weights. |

`lambda` |
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*.

`GetNewLambdaWeight`

,
`EnergyEntropyDecomp`

1 2 3 4 | ```
data(applestarbucks)
market <- toymkt(applestarbucks)
weight <- GetLambdaWeight(market, initial.weight = c(0.5, 0.5), lambda = 0.2)
decomp <- EnergyEntropyDecomp(market, weight, plot = TRUE)
``` |

RelValAnalysis documentation built on May 29, 2017, 4:19 p.m.

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