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)

Arguments

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.

Value

A matrix of portfolio 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)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

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> library(RelValAnalysis)
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/RelValAnalysis/GetLambdaWeight.Rd_%03d_medium.png", width=480, height=480)
> ### Name: GetLambdaWeight
> ### Title: Portfolio Weights of the Lambda-strategy
> ### Aliases: GetLambdaWeight
> 
> ### ** Examples
> 
> data(applestarbucks)
> market <- toymkt(applestarbucks)
Warning message:
In toymkt(applestarbucks) :
  Since initial.weight is not given, the benchmark is assumed to be equal-weighted initially.
> weight <- GetLambdaWeight(market, initial.weight = c(0.5, 0.5), lambda = 0.2)
> decomp <- EnergyEntropyDecomp(market, weight, plot = TRUE)
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>