sim_mixdiff: Simulate log-optimal strategy on mixture diffusions
In shill1729/KellyCriterion: Log-optimal stock allocation
Description
Usage
Arguments
Details
Value
Description
Simulate log-optimal strategy for mixture diffusion prices
Usage
1
sim_mixdiff(bankroll, t, spot, rate, parameters)
Arguments
bankroll
initial bankroll to invest
t
time horizon to trade over
spot
the initial stock price
rate
the return of the bond
parameters
matrix of parameters of mixture, see details
Details
The matrix must contain a row of probabilities, a row of means, and
a row of standard deviations.
Value
data.frame of solution
shill1729/KellyCriterion documentation built on Oct. 12, 2020, 4:21 a.m.
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Description Usage Arguments Details Value
Description
Simulate log-optimal strategy for mixture diffusion prices
Usage
1 | sim_mixdiff(bankroll, t, spot, rate, parameters)
|
Arguments
bankroll |
initial bankroll to invest |
t |
time horizon to trade over |
spot |
the initial stock price |
rate |
the return of the bond |
parameters |
matrix of parameters of mixture, see details |
Details
The matrix must contain a row of probabilities, a row of means, and a row of standard deviations.
Value
data.frame of solution
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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