capdist: Captial-distribution Objects

In RelValAnalysis: Relative Value Analysis

Description

The function capdist is used to create capital-distribution objects.

Usage

capdist(x)

Arguments

x	a numeric vector storing the market weights of assets.

Details

The function capdist is used to create capital-distribution objects. These are vectors with class "capdist" which represents the distribution of capital in a market at a single moment.

When the function is called, it is checked whether the sum of weights is equal to 1 up to 0.1%. If not, a warning message will be displayed.

Capital distribution objects can be plotted. See plot.capdist for details.

Value

A capdist object.

References

Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.

See Also

plot.capdist

Examples

# Create a random distribution
x <- runif(100)
x <- x/sum(x)
x <- capdist(x)
plot(x)

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

RelValAnalysis documentation built on May 2, 2019, 3:09 a.m.