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diversification

Function to compute diversification as a constraint

Description

Diversification is defined as 1 minus the sum of the squared weights

diversification = 1 - sum(w^2)

Usage

diversification(weights)

Arguments

weights

vector of asset weights

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

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