EntropyPortfolio is a predefiend fgp object representing the entropy-weighted portfolio.
Usage
EntropyPortfolio
Arguments
Value
An fgp object.
Details
The entropy-weighted portfolio is a functionally generated portfolio generated by the Shannon entropy (see ShannonEntropy). See Example 3.1.2 of Fernholz (2002).
References
Fernholz, E. R. (2002) Stochastic portfolio theory. Springer.