entropy_mixdiff: Compute the log-growth rate under optimally controlled...

Description Usage Arguments Value

View source: R/mixture_diffusion.R

Description

Compute the entropy rate as a function of the fraction. This involves solving a Feynman-Kac PDE with running cost the sum of the risk-free rate and half the square of the market price of risk.

Usage

1
entropy_mixdiff(t, s, spot, rate, parameters)

Arguments

t

time horizon

s

current price

spot

initial price

rate

risk-free rate

parameters

parameters of mixture

Value

numeric


shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.