Interface | Description |
---|---|
DiversificationMeasure |
Defines the diversification of a portfolio.
|
Class | Description |
---|---|
ProductOfWeights |
Defines portfolio diversification as
\[
D(w) = \prod_i w_i
\]
|
SumOfPoweredWeights |
Defines portfolio diversification as
\[
D(w) = \sum_i w_i^P
\]
|
SumOfSquaredWeights |
Defines portfolio diversification as
\[
D(w) = \sum_i w_i^2
\]
|
SumOfWLogW |
Defines portfolio diversification as
\[
D(w) = \sum_i w_i \ln(w_i)
\]
|
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