kelly_gbm: Kelly criterion for a geometric Brownian motion
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Details
Value
Description
The Kelly criterion formula under GBM.
Usage
1
kelly_gbm(drift, rate, volat)
Arguments
drift
the drift coefficient of the stock price process
rate
the risk-neutral rate of return, or the return on the bond/money market account, etc
volat
the volatility coefficient of the stock price process
Details
The equation is given by (μ-r)/σ^2, where dS_t =μ S_t dt +σ S_T dB_T and r is the risk-free rate of return.
Value
Numerical
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Details Value
Description
The Kelly criterion formula under GBM.
Usage
1 | kelly_gbm(drift, rate, volat)
|
Arguments
drift |
the drift coefficient of the stock price process |
rate |
the risk-neutral rate of return, or the return on the bond/money market account, etc |
volat |
the volatility coefficient of the stock price process |
Details
The equation is given by (μ-r)/σ^2, where dS_t =μ S_t dt +σ S_T dB_T and r is the risk-free rate of return.
Value
Numerical
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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