round_EM: The iteration fucntion used in the EM algorithm
In FinYang/stocon: Portfolio selection in a Stochastic control setting

Description Usage Arguments Author(s) See Also

View source: R/EM.R

This is only for one round of E step and M step

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round_EM(Rr, Rf, valuefunction = value_varmean, M = NROW(Rr[[1]]),
  Tn = length(Rr) - 1, ini_W = 1000, discount = 1/1.01,
  lambda = 1/2, para = NULL)

`Rr`	List of matrix. The rertuns of the assets. Each list is for one time point and each column in the matrix is one assets.
`Rf`	Scalar. The risk free rate. e.g. 1.01
`valuefunction`	Function. The function that returns the value being optimised. The first argument needs to be the parameter to optimise.
`M`	Integer. The number of instances for one assets at a time
`Tn`	Integer. The length of time horizon. Not including 0.
`ini_W`	Scalar. The initial wealth.
`discount`	Scalar. The rate of discount. e.g. 1/1.01
`lambda`	The scalar that make the calculation easiler.
`para`	Matrix. Initial value of all the paramters. Each column is a parameter and each row is a time point.