The function DiversityPortfolio is creates an fgp object representing the diversity-weighted portfolio with a given parameter.
Usage
DiversityPortfolio(p = 0.5)
Arguments
p
a number between 0 and 1. The default value is 0.5.
Value
An fgp object.
Details
The diversity-weighetd portfolio is a functionally generated portfolio, see Example 3.4.4 of Fernholz (2002). It is generated by the diversity function (see Diversity). It can be regarded as an interpolation between the market portfolio (p = 1) and the equal-weighted portfolio (p = 0).
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.