Package tech.nmfin.portfoliooptimization.corvalan2005.diversification
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Interface Summary Interface Description DiversificationMeasure Defines the diversification of a portfolio. -
Class Summary 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 \[ D(w) = \sum_i w_i \ln(w_i) \]