Description Usage Arguments Details Value
Function to compute rolling quadrature Kelly criterion. Can take constant or variable rate.
1 2 3 4 5 6 7 8 | kelly_rolling_quadrature(
returns,
n,
rate,
constrain = FALSE,
lb = -0.5,
ub = 0.5
)
|
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 |
Generic rolling function via loops. Also includes capital constraints for prohibiting leverage.
matrix
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