RelValAnalysis (version 1.0)

GetLambdaWeight: Portfolio Weights of the Lambda-strategy

Description

Given a toymkt and an initial weight vector, the function GetLambdaWeight computes a matrix of portfolio weights following the lambda strategy.

Usage

GetLambdaWeight(market, initial.weight = market$benchmark.weight[1, ], lambda)

Value

A matrix of portfolio weights.

Details

For details see GetNewLambdaWeight and Section 6.1 of Pal and Wong (2013). The purpose of this function is analogous to that of GetWeight, but here the strategy depends on the entire history of market weights.

References

Pal, S. and T.-K. L. Wong (2013). Energy, entropy, and arbitrage. arXiv preprint arXiv:1308.5376.

See Also

GetNewLambdaWeight, EnergyEntropyDecomp

Examples

data(applestarbucks)
market <- toymkt(applestarbucks)
weight <- GetLambdaWeight(market, initial.weight = c(0.5, 0.5), lambda = 0.2)
decomp <- EnergyEntropyDecomp(market, weight, plot = TRUE)