diversification: Function to compute diversification as a constraint

Description Usage Arguments Author(s)

Description

Diversification is defined as 1 minus the sum of the squared weights

diversification = 1 - sum(w^2)

Usage

1

Arguments

weights

vector of asset weights

Author(s)

Ross Bennett


R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.