entropy_historical: Growth/entropy rate for repeated bets
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
Description
The growth-rate function for repeated bets.
Usage
1
entropy_historical(w, x, y, rate)
Arguments
w
fraction of wealth to invest
x
the daily returns range
y
the empirical density function of returns
rate
the risk-free rate or the cost of carry, assumed to be annualized
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Value
Description
The growth-rate function for repeated bets.
Usage
1 | entropy_historical(w, x, y, rate)
|
Arguments
w |
fraction of wealth to invest |
x |
the daily returns range |
y |
the empirical density function of returns |
rate |
the risk-free rate or the cost of carry, assumed to be annualized |
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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