ParetoCapDist: Generating a Pareto Capital Distribution
In RelValAnalysis: Relative Value Analysis
Description
Usage
Arguments
Details
Value
References
See Also
Examples
Description
The function ParetoCapDist is used to generate a capital-distribution object which follows a Pareto distribution with user-defined slope parameter.
Usage
1
ParetoCapDist(n, index = 1)
Arguments
n
the number of assets.
index
a positive number. The slope of the capital distribution curve (i.e., the log-log curve of market weights against ranks) is -index.
Details
A capital distribution is said to follow a Pareto distribution if the log-log curve of market weights against ranks is linear. This function creates a hypothetitical market distribution given the slope of the curve.
Value
a capdist object.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
Examples
1
2
3
x <- ParetoCapDist(n = 100, index = 1.1)
plot(x)
RelValAnalysis documentation built on May 2, 2019, 3:09 a.m.
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.
Description Usage Arguments Details Value References See Also Examples
Description
The function ParetoCapDist is used to generate a capital-distribution object which follows a Pareto distribution with user-defined slope parameter.
Usage
1 | ParetoCapDist(n, index = 1)
|
Arguments
n |
the number of assets. |
index |
a positive number. The slope of the capital distribution curve (i.e., the log-log curve of market weights against ranks) is |
Details
A capital distribution is said to follow a Pareto distribution if the log-log curve of market weights against ranks is linear. This function creates a hypothetitical market distribution given the slope of the curve.
Value
a capdist object.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.
See Also
Examples
1 2 3 | x <- ParetoCapDist(n = 100, index = 1.1)
plot(x)
|
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.