kelly_jdf: log optimal criterion under jump-diffusions
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
Description
log optimal criterion under jump-diffusions
Usage
1
kelly_jdf(mu, rate, volat, lambda, distr, jump_param)
Arguments
mu
drift
rate
discounting rate
volat
volatility
lambda
mean rate of jumps
distr
distribution of jump sizes
jump_param
parameters of distribution
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Value
Description
log optimal criterion under jump-diffusions
Usage
1 | kelly_jdf(mu, rate, volat, lambda, distr, jump_param)
|
Arguments
mu |
drift |
rate |
discounting rate |
volat |
volatility |
lambda |
mean rate of jumps |
distr |
distribution of jump sizes |
jump_param |
parameters of 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.
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