divHHI

divHHI calculates a portfolio diversification index DIV. The DIV
is equal to 1 minus the Herfindahl-Hirschman Index (HHI), which is defined
as the sum of the squared portfolio weights. The maximum HHI of a long-only
portfolio is 1, which occurs when all of the portfolio's investment is in a
single asset, and correspondingly HHI = 0.

A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course.  The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects.  The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.

Doug Martin

PCRA

Companion to Portfolio Construction and Risk Analysis

Alexios Galanos

Kirk Li

Jon Spinney

Thomas Philips

divHHI function

<dl><dt>weights</dt>
<dd>A numeric vector of portfolio weights</dd></dl>

Arguments

HHI Based Diversification Index — divHHI

<dl>

<dt>weights</dt>
<dd>A numeric vector of portfolio weights</dd>

</dl>

divHHI: HHI Based Diversification Index

Description

Usage

Value

Arguments

Examples