entropyItoProcess: Log-growth rate under optimal fraction invested in Ito...
In shill1729/kellyfractions: Optimize log returns
entropyItoProcess R Documentation
Log-growth rate under optimal fraction invested in Ito process
Description
Compute the entropy rate as a function of the fraction. This
involves solving a Feynman-Kac PDE with running cost the sum of the risk-free rate
and half the square of the market price of risk.
Usage
entropyItoProcess(t, s, dynamics, rate = 0, resolution = c(200, 200))
Arguments
t
length of time
s
current spot price
dynamics
list of drift and volatility function
rate
risk-free rate
resolution
the time and space resolution for the PDE solver
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| entropyItoProcess | R Documentation |
Log-growth rate under optimal fraction invested in Ito process
Description
Compute the entropy rate as a function of the fraction. This involves solving a Feynman-Kac PDE with running cost the sum of the risk-free rate and half the square of the market price of risk.
Usage
entropyItoProcess(t, s, dynamics, rate = 0, resolution = c(200, 200))
Arguments
t |
length of time |
s |
current spot price |
dynamics |
list of drift and volatility function |
rate |
risk-free rate |
resolution |
the time and space resolution for the PDE solver |
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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