kelly_rolling_quadrature: Rolling period quadrature Kelly criterion

Description Usage Arguments Details Value

View source: R/empirical.R

Description

Function to compute rolling quadrature Kelly criterion. Can take constant or variable rate.

Usage

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kelly_rolling_quadrature(
  returns,
  n,
  rate,
  constrain = FALSE,
  lb = -0.5,
  ub = 0.5
)

Arguments

returns

the time series of daily returns

n

number of days to roll by

rate

interest rate of relevance, assumes the input is annualized (deannualized inside the function)

constrain

whether to constrain the capital or not

lb

lower bound capital limit

ub

upper bound capital limit

Details

Generic rolling function via loops. Also includes capital constraints for prohibiting leverage.

Value

matrix


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