Man pages for shill1729/kellyfractions
Optimize log returns
| cevParameterCheck | Input error handling for cev model |
| dat_strategy | Find the dominant asset via the Kelly-criterion |
| dominant_asset_matrix | Estimate the expectation E((1+R_j)/(1+Ri)) for every pair of... |
| entropyBinary | Growth rate for Kelly fraction for arbitrary binary... |
| entropyCEV | Optimal growth-rate under CEV diffusions |
| entropyDTFM | Log-growth n for discrete-time financial market models |
| entropyGBM | The optimal log-growth rate under univariate GBM |
| entropyHeston | Optimized log-growth for Heston dynamics |
| entropyItoProcess | Log-growth rate under optimal fraction invested in Ito... |
| entropyMerton | Kelly-criterion entropy under Merton's jump diffusion |
| entropyMixtureDiffusion | Compute the log-growth rate under optimally controlled... |
| entropyPortfolioGBM | Maximum log-growth rate for continuous time GBM portfolios |
| entropyTandemMoneyline | Entropy-growth for log-optimal tandem moneyline bets |
| jint | Jumps integral in Kelly criterion for Merton dynamics |
| kellyBinary | The optimal bet for a binary wager |
| kellyCEV | Optimal fraction under CEV diffusions |
| kellyDTFM | Kelly-criterion for discrete-time financial market models |
| kellyEuroBS1 | Kelly-fraction for European options under Black-Scholes... |
| kellyEuroBS2 | Kelly-fraction for European options under Black-Scholes... |
| kellyGBM | The Kelly-fraction for a stock following GBM dynamics |
| kellyItoProcess | Kelly-fraction for Ito process with coefficient functions of... |
| kellyMerton | Kelly-criterion under Merton's jump diffusion |
| kellyMixtureDiffusion | Kelly-criterion for mixture diffusions |
| kellyPoisson | Kelly-fraction under geometric compensated Poisson dynamics |
| kellyPortfolioGBM | Kelly portfolio in continuous time for GBM market |
| kellyTandemMoneyline | Kelly fraction for tandemn moneyline bets |
| kellyUniform | Newton-Raphson algorithm for solving optimal log utiltiy... |
| mixtureParameterCheck | Input error handling for mixture model |
| optimalBinary | Simulate Kelly strategy for generalized coin toss |
| optimalCEV | Simulate log-optimal strategy on CEV diffusions |
| optimalDTFM | Simulate log-optimal strategy for DTFM |
| optimalGBM | Simulate log-optimal strategy on mixture diffusions |
| optimalHeston | Simulate a sample-path of the Kelly-portfolio under Heston... |
| optimalItoProcess | Simulate log-optimal strategy for a given Ito process |
| optimalMertonPath | Euler-Maruyama scheme for Kelly portfolio under Merton's jump... |
| optimalMixtureDiffusion | Simulate log-optimal strategy on mixture diffusions |
| optimalPoisson | Kelly-fraction under geometric compensated Poisson dynamics |
| optimalTandemMoneyline | Simulate a series of IID trials of moneyline under... |
| wealthGoalChance | The optimal chance of reaching a wealth goal by a terminal... |
| wealthGoalControl | The optimal control for reaching a wealth goal by a terminal... |
| wealthGoalEntropy | The sub-optimal log-growth obtained from reaching a wealth... |
