kelly_criterion: The Kelly criterion
In RKelly: Translate Odds and Probabilities
Description
Usage
Arguments
Value
References
Examples
View source: R/probability_functions.R
Description
The Kelly criterion
Usage
1
kelly_criterion(p, alpha_w, alpha_l)
Arguments
p
The objective probability of the event
alpha_w
The return multiplier in case of the event happening
alpha_l
The return multiplier in case of the event not happening
Value
The Kelly optimised fraction of the bankroll that should be bet
References
Thorp, Edward O. (1997; revised 1998). The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. http://www.eecs.harvard.edu/cs286r/courses/fall12/papers/Thorpe_KellyCriterion2007.pdf
Examples
1
kelly_criterion(0.5,1,1)
RKelly documentation built on Sept. 4, 2019, 5:03 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value References Examples
View source: R/probability_functions.R
Description
The Kelly criterion
Usage
1 | kelly_criterion(p, alpha_w, alpha_l)
|
Arguments
p |
The objective probability of the event |
alpha_w |
The return multiplier in case of the event happening |
alpha_l |
The return multiplier in case of the event not happening |
Value
The Kelly optimised fraction of the bankroll that should be bet
References
Thorp, Edward O. (1997; revised 1998). The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. http://www.eecs.harvard.edu/cs286r/courses/fall12/papers/Thorpe_KellyCriterion2007.pdf
Examples
1 | kelly_criterion(0.5,1,1)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.