ParetoCapDist: Generating a Pareto Capital Distribution
Description
The function ParetoCapDist is used to generate a capital-distribution object which follows a Pareto distribution with user-defined slope parameter.
Usage
ParetoCapDist(n, index = 1)
Arguments
Value
a capdist object.
Details
A capital distribution is said to follow a Pareto distribution if the log-log curve of market weights against ranks is linear. This function creates a hypothetitical market distribution given the slope of the curve.
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.