The function AtlasModel is used to create a marketmodel object which represents an Atlas model with user-provided parameters.
● Data Source:
CranContrib
● Keywords:
● Alias: AtlasModel
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The function FreeEnergy computes the free energy of a portfolio given the simple returns of the individual assets.
● Data Source:
CranContrib
● Keywords:
● Alias: FreeEnergy
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Given the benchmark weights (say, derived from a toy market, see toymkt) and a function which maps benchmark weights to portfolio weights, the function GetWeight computes a matrix of portfolio weights.
● Data Source:
CranContrib
● Keywords:
● Alias: GetWeight
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The function ShannonEntropy computes the Shannon entropy of a probability vector.
● Data Source:
CranContrib
● Keywords:
● Alias: ShannonEntropy
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The function capdist is used to create capital-distribution objects.
● Data Source:
CranContrib
● Keywords:
● Alias: capdist
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Given a portfolio weight vector and a grouping, the function GetGroupWeight decompose the portfolio into a portfolio of portfolios. See the decription below for more details.
● Data Source:
CranContrib
● Keywords:
● Alias: GetGroupWeight
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Given the portfolio weights and a toy market, the function Invest simulates the growth of $1 of the corresponding portfolio and that of the benchmark.
● Data Source:
CranContrib
● Keywords:
● Alias: Invest
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The function RelativeEntropy is used to compute the relative entropy between two probability distributions.
● Data Source:
CranContrib
● Keywords:
● Alias: RelativeEntropy
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The function print.marketmodel prints a marketmodel object.
● Data Source:
CranContrib
● Keywords:
● Alias: print.marketmodel
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The function ParetoCapDist is used to generate a capital-distribution object which follows a Pareto distribution with user-defined slope parameter.
● Data Source:
CranContrib
● Keywords:
● Alias: ParetoCapDist
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