entropyMixtureDiffusion: Compute the log-growth rate under optimally controlled...

In shill1729/kellyfractions: Optimize log returns

Compute the log-growth rate under optimally controlled mixture diffusions

Description

A special case wrapper to entropyItoProcess. 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

entropyMixtureDiffusion(t, s, spot, rate, param, resolution = c(200, 200))

Arguments

t	time horizon
s	current price
spot	initial price
rate	risk-free rate
param	parameters of mixture
resolution	time and space resolution for the PDE solver

Value

numeric

shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.