The function ConstantPortfolio is creates an fgp object representing the constant-weighted portfolio with a given weight vector.
Usage
ConstantPortfolio(weight)
Arguments
weight
a numeric probability vector.
Value
An fgp object.
Details
The constant-weighetd portfolio is a functionally generated portfolio generated by the geometric mean (see GeometricMean). One example is the equal-weighted portfolio. The portfolio maintains the same weight in every period.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.