Man pages for shill1729/KellyCriterion
Log-optimal stock allocation
| entropy_binary | Growth rate for Kelly fraction for arbitrary binary... |
| entropy_derivative | Growth/entropy rate derivative for repeated bets |
| entropy_dtfm | Log-growth n for discrete-time financial market models |
| entropy_gbm | Growth/entropy rate of Kelly criterion under GBM |
| entropy_historical | Growth/entropy rate for repeated bets |
| entropy_jdf | Entropy for jump diffusion log optimal control |
| entropy_mixdiff | Compute the log-growth rate under optimally controlled... |
| entropy_moneyline | Entropy-growth for log-optimal moneyline bets |
| entropy_monte_carlo | Monte-Carlo computation of expected log |
| jump_entropy_term | Title |
| jump_integral | Jump integral term for log utility |
| jump_value_integral | Jump integral term for log utility |
| kelly_binary | Kelly fraction for arbitrary binary (non-random) payoffs |
| kelly_dtfm | Kelly-criterion for discrete-time financial market models |
| kelly_gbm | Kelly criterion for a geometric Brownian motion |
| kelly_jdf | log optimal criterion under jump-diffusions |
| kelly_jdf_fixp | log optimal criterion under jump-diffusions via fixed-point... |
| kelly_mixdiff | Kelly-criterion for mixture diffusions |
| kelly_moneyline | Kelly fraction for moneyline bets |
| kelly_monte_carlo | Monte-Carlo optimization of expected log |
| kelly_portfolio | Kelly portfolio in continuous time for GBM market |
| kelly_qp | Quadratic programming approximation to discrete time... |
| kelly_quadrature | Quadrature Kelly computation |
| kelly_rolling_quadrature | Rolling period quadrature Kelly criterion |
| kelly_taylor | Taylor approximation to optimal log utility allocation |
| kjdf_fixed_point | Function to compute fixed point of for log optimal criterion... |
| kjdf_root | Function to find root of for log optimal criterion under... |
| mgfdkou | Moment generating function for Displaced Kou distribution |
| mgfkou | Moment generating function for Displaced Kou distribution |
| mgfnorm | Moment-generating function of a Gaussian RV |
| mgfunif | Moment-generating function of a uniform RV |
| sim_binary | Simulate Kelly strategy for generalized coin toss |
| sim_dtfm | Simulate log-optimal strategy for DTFM |
| sim_mixdiff | Simulate log-optimal strategy on mixture diffusions |
| sim_moneyline | Simulate a series of IID trials of moneyline under... |
