gen_kelly_market: Generate Kelly-market

Description Usage Arguments Value Examples

Description

generates a Kelly-market, where all assets are decreasing, except one which remains constant.

Usage

1
gen_kelly_market(no_assets, t, step = 0.01, ret = "x")

Arguments

no_assets

number of assets

t

number of periods

step

step by which the return (price relative) of asset A_i differs from asset A_(i+1)

ret

return method: specifies whether returns (price relatives) (ret="x") or prices (ret="q") are returned

Value

Matrix with asset prices or returns (price relatives)

Examples

1
2
gen_kelly_market(3, 100)
gen_kelly_market(5, 1000, ret="q")

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.