jint: Jumps integral in Kelly criterion for Merton dynamics
In shill1729/kellyfractions: Optimize log returns
jint R Documentation
Jumps integral in Kelly criterion for Merton dynamics
Description
Compute various integrals against a density function for the
log jump size.
Usage
jint(a, g, alpha, beta, subdivisions = 200)
Arguments
a
the control value
g
the function to compute expectation of J = e^Y-1
alpha
the mean jump size
beta
the standard deviation of the jump size
subdivisions
number of subdivisions in the numerical integration
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| jint | R Documentation |
Jumps integral in Kelly criterion for Merton dynamics
Description
Compute various integrals against a density function for the log jump size.
Usage
jint(a, g, alpha, beta, subdivisions = 200)
Arguments
a |
the control value |
g |
the function to compute expectation of |
alpha |
the mean jump size |
beta |
the standard deviation of the jump size |
subdivisions |
number of subdivisions in the numerical integration |
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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