Description Usage Arguments Details Value Author(s) References Examples
This function computes one of several portfolio diversification measures for a single portfolio or a collection of portfolios.
1 2 | portfolio.diversification(portfolios, method = c("naive", "herfindahl",
"herfindahl-hirschman", "hannah-kay", "shannon"), alpha = 2)
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portfolios |
a vector or matrix of portfolio exposures |
method |
a character value for the method used to compute the measure |
alpha |
a numeric value for parameter required for the Hannah-Kay measure |
The function ocmputes a portfolio diversification measure for a single portfolio or for a collection of portfolios organized as a matrix.
A vector with one or more values.
Frederick Novomestky fn334@nyu.edu
Worthington, A. C., 2009. Household Asset Portfolio
Diversification: Evidence from the Household, Income and Labour
Dynamics in Australia (Hilda) Survey, Working Paper, Available at
SSRN: http:////ssrn.com//abstract=1421567
.
1 2 3 4 5 6 | onePortfolio <- random.longonly( 100, 75 )
naive <- portfolio.diversification( onePortfolio, method = "naive" )
herfindahl <- portfolio.diversification( onePortfolio, method = "herfindahl" )
herfindahl.hirschman <- portfolio.diversification( onePortfolio, method = "herfindahl-hirschman" )
hannah.kay <- portfolio.diversification( onePortfolio, method = "hannah-kay" )
shannon <- portfolio.diversification( onePortfolio, method = "shannon" )
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