GetLambdaWeight: Portfolio Weights of the Lambda-strategy
In RelValAnalysis: Relative Value Analysis

Description Usage Arguments Details Value References See Also Examples

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 `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.

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

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