entropyPortfolioGBM: Maximum log-growth rate for continuous time GBM portfolios

In shill1729/kellyfractions: Optimize log returns

Maximum log-growth rate for continuous time GBM portfolios

Description

A wrapper to solve.QP for computing optimal portfolios under a market of correlated geometric Brownian motions.

Usage

entropyPortfolioGBM(drift, Sigma, rate = 0, restraint = 1, direction = "long")

Arguments

drift	the drift vector of the GBMs
Sigma	the covariance matrix of the GBMs
rate	the rate earned on cash in a money market account, etc
restraint	percentage of wealth to bankroll
direction	the direction of the bet: long or short

Details

The drift of the log-returns and covariance must be passed.

Value

list of growth rate and optimal portfolio

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