RelValAnalysis (version 1.0)

CapDistSlope: Slope of a Capital Distribution Curve

Description

The function CapDistSlope computes the slope of a capital distribution curve.

Usage

## S3 method for class "capdist"

CapDistSlope(x, cut.end = 0.1)

Value

The slope.

Details

If the capital distribution curve is a straight line, we say that the capital distribution follows a Pareto distribution. Empirically, a lot of capital distribution curves are approximately Pareto shaped. The slope is estimated by ordinary least squares after removing the smallest cut.end proportion of the weights.

References

Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.

See Also

capdist

Examples

# Create a random distribution
x <- runif(100)
x <- x/sum(x)
x <- capdist(x)
CapDistSlope(x)