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

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.

Value

a capdist object.

References

Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.

See Also

capdist

Examples

x <- ParetoCapDist(n = 100, index = 1.1)

plot(x)

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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Type 'demo()' for some demos, 'help()' for on-line help, or
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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/ParetoCapDist.Rd_%03d_medium.png", width=480, height=480)
> ### Name: ParetoCapDist
> ### Title: Generating a Pareto Capital Distribution
> ### Aliases: ParetoCapDist
> 
> ### ** Examples
> 
> x <- ParetoCapDist(n = 100, index = 1.1)
> 
> plot(x)
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>