kelly_quadrature: Quadrature Kelly computation
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Details
Value
Description
Computes the optimal Kelly fraction via numerical integration given the empirical density function
Usage
1
kelly_quadrature(returns, rate, plotGrowth = FALSE, bd = 1e-04)
Arguments
returns
the time-series of daily log-returns
rate
the relevant interest rate (risk-free, cost of carry, etc) and is assumed to be annualized
plotGrowth
whether to plot the growth functions
bd
the precision boundary away from the interval endpoint in the bisection
Details
Solves a root equation in terms of the expectation of a function of the returns. See pdf for details.
Value
list
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Details Value
Description
Computes the optimal Kelly fraction via numerical integration given the empirical density function
Usage
1 | kelly_quadrature(returns, rate, plotGrowth = FALSE, bd = 1e-04)
|
Arguments
returns |
the time-series of daily log-returns |
rate |
the relevant interest rate (risk-free, cost of carry, etc) and is assumed to be annualized |
plotGrowth |
whether to plot the growth functions |
bd |
the precision boundary away from the interval endpoint in the bisection |
Details
Solves a root equation in terms of the expectation of a function of the returns. See pdf for details.
Value
list
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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