kelly_taylor: Taylor approximation to optimal log utility allocation
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Value
Description
Using Taylor series the approximate optimal
allocation can be given by ratio of the mean over the second moment.
Usage
1
kelly_taylor(returns)
Arguments
returns
time-series of arithmetic returns
Value
numeric
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Value
Description
Using Taylor series the approximate optimal allocation can be given by ratio of the mean over the second moment.
Usage
1 | kelly_taylor(returns)
|
Arguments
returns |
time-series of arithmetic returns |
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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