entropy_gbm: Growth/entropy rate of Kelly criterion under GBM
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Details
Value
Description
This is the function optimized by the Kelly criterion. It is equal to the expected log wealth.
Usage
1
entropy_gbm(alpha, mu, rate, volat, t = 1)
Arguments
alpha
the fraction of wealth to bet
mu
the drift rate of the stock
rate
the money-market account interest rate
volat
the annual volatility of the stock (std of daily log-returns)
t
time-span, default to one year growth period
Details
See .pdf for details.
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Details Value
Description
This is the function optimized by the Kelly criterion. It is equal to the expected log wealth.
Usage
1 | entropy_gbm(alpha, mu, rate, volat, t = 1)
|
Arguments
alpha |
the fraction of wealth to bet |
mu |
the drift rate of the stock |
rate |
the money-market account interest rate |
volat |
the annual volatility of the stock (std of daily log-returns) |
t |
time-span, default to one year growth period |
Details
See .pdf for details.
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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