divHHI {PCRA}

HHI Based Diversification Index

Description

divHHI calculates a portfolio diversification index DIV. The DIV is equal to 1 minus the Herfindahl-Hirschman Index (HHI), which is defined as the sum of the squared portfolio weights. The maximum HHI of a long-only portfolio is 1, which occurs when all of the portfolio's investment is in a single asset, and correspondingly HHI = 0.

Usage

divHHI(weights)

Arguments

weights

A numeric vector of portfolio weights

Value

a zoo time series object containing portfolio diversification values

Examples

args(divHHI)