kelly_mixdiff: Kelly-criterion for mixture diffusions
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
View source: R/mixture_diffusion.R
Description
Straightforward generalization of the classic Kelly-fraction for
functions of time and space.
Usage
1
kelly_mixdiff(t, s, rate, parameters, spot)
Arguments
t
current time
s
current price
rate
the discounting rate/money-market account return
parameters
matrix with rows probs, mus, sigmas for the components
spot
initial price
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Value
View source: R/mixture_diffusion.R
Description
Straightforward generalization of the classic Kelly-fraction for functions of time and space.
Usage
1 | kelly_mixdiff(t, s, rate, parameters, spot)
|
Arguments
t |
current time |
s |
current price |
rate |
the discounting rate/money-market account return |
parameters |
matrix with rows probs, mus, sigmas for the components |
spot |
initial price |
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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