kelly_portfolio: Kelly portfolio in continuous time for GBM market
In shill1729/KellyCriterion: Log-optimal stock allocation

Description Usage Arguments Details Value

For continuous time market of GBMs, the log optimal portfolio is given by a quadratic programming problem.

kelly_portfolio(
  log_ret,
  rate = 0,
  bankroll = 1,
  direction = "long",
  sample_mean = NULL,
  sample_cov = NULL
)

`log_ret`	the data-set of (daily) arithmetic returns. Assumes it is a matrix with colnames of tickers
`rate`	the rate earned on cash in a money market account, etc
`bankroll`	percentage of wealth to bankroll
`direction`	the direction of the bet: long or short
`sample_mean`	the mean vector, optional
`sample_cov`	the covariance matrix, optional

The function estimates the entire sample set for mean returns and covariance and then runs the optimization routine by calling solve.qp from quadprog package.

list of growth rate and optimal portfolio

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