The function Diversity computes the diversity of a probability distribution.
Usage
Diversity(x, p = 0.5)
Arguments
x
a numeric vector with non-negative entries.
p
a parameter between 0 and 1. The default value is 0.5.
Value
A number.
Details
The diversity function is used in stochastic portfolio theory as a measure of market diversity. It is the generating function of the diversity-weighted portfolio (see DiversityPortfolio). See Example 3.4.4 of Fernholz (2002) for more information.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.