entropy_jdf: Entropy for jump diffusion log optimal control
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
Description
Entropy for jump diffusion log optimal control
Usage
1
entropy_jdf(a, t, x, mu, rate, volat, lambda, distr, jump_param)
Arguments
a
control fraction
t
time at start
x
bankroll
mu
drift rate
rate
bond rate
volat
volatility
lambda
mean number of jumps per year
distr
distribution of jump size
jump_param
parameters of above distribution
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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.
Description Usage Arguments Value
Description
Entropy for jump diffusion log optimal control
Usage
1 | entropy_jdf(a, t, x, mu, rate, volat, lambda, distr, jump_param)
|
Arguments
a |
control fraction |
t |
time at start |
x |
bankroll |
mu |
drift rate |
rate |
bond rate |
volat |
volatility |
lambda |
mean number of jumps per year |
distr |
distribution of jump size |
jump_param |
parameters of above distribution |
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.