Description Usage Arguments Value Examples
generates a Kelly-market, where all assets are decreasing, except one which remains constant.
1 | gen_kelly_market(no_assets, t, step = 0.01, ret = "x")
|
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) ( |
Matrix with asset prices or returns (price relatives)
1 2 | gen_kelly_market(3, 100)
gen_kelly_market(5, 1000, ret="q")
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