plot.capdist: Plotting Captial Distribution Objects

In RelValAnalysis: Relative Value Analysis

Description

The function plot.capdist plots the capital distribution curve.

Usage

## S3 method for class 'capdist'
plot(x, draw.line = TRUE, cut.end = 0.1, ...)

Arguments

x	a capdist object.
draw.line	TRUE or FALSE. If true, a straight line is fitted to the capital distribution curve. The default value is TRUE.
cut.end	A number between 0 and 1. It is the proportion of the smallest assets that will be ignored when fitting a straight line to the capital distribution curve. The default value is 0.1.
...	further arguments such as main.

Details

A capital distribution curve is the log-log curve of the market weights against the rank. Empirically, capital distribution curves are approximately Pareto-shaped with some concavity at the lower end.

References

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

See Also

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.