R/DIV.R

In kecoli/mpo: Companion to Modern Portfolio Optimization with R, 2nd Edition

# DIV is the function to calculate the diversification index
# for a set of portfolio weights. DIV is one minus the HHI index.

DIV = function(weights){
  n.dates=nrow(weights)
  if(n.dates<1){
    print("empty data set")
    return()
  }
  diversification=rep(0,n.dates)
  for(i in 1:n.dates){
    diversification[i]=1-sum(weights[i,]^2)
  }
  dates=index(weights)
  Div=zoo(diversification,dates)
  return(Div)
}