entropy_monte_carlo: Monte-Carlo computation of expected log

In shill1729/KellyCriterion: Log-optimal stock allocation

Description

A Monte-Carlo implementation of the expected log growth for a continuous return RV.

Usage

entropy_monte_carlo(x, rate, distr, n = 50000, ...)

Arguments

x	the fraction input
rate	the discounting rate
distr	string for distirbution name of "r, p, d" family for simulating, CDFs, and PDFs
n	the number of samples to use in the Monte-Carlo approximation
...	parameters of distribution, specifically the rdistr(n, params...) form

Details

Using LLN we approximate the expected log growth numerically via sample means

Value

numeric

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