entropy_dtfm: Log-growth n for discrete-time financial market models
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
Description
Approximates the integral in the log utility problem. This
is a new interface for entropy_integral, which will be deprecated and removed.
Usage
1
entropy_dtfm(distr, param, rate = 0, h = 10^-4)
Arguments
distr
distribution name for the (daily) arithmetic returns
param
the parameters of the distribution
rate
the risk-neutral rate of the money-market account
h
step size for numeric blow-ups
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Value
Description
Approximates the integral in the log utility problem. This
is a new interface for entropy_integral, which will be deprecated and removed.
Usage
1 | entropy_dtfm(distr, param, rate = 0, h = 10^-4)
|
Arguments
distr |
distribution name for the (daily) arithmetic returns |
param |
the parameters of the distribution |
rate |
the risk-neutral rate of the money-market account |
h |
step size for numeric blow-ups |
Value
numeric
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.
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