kellyDTFM: Kelly-criterion for discrete-time financial market models
In shill1729/kellyfractions: Optimize log returns
View source: R/discreteTimeModels.R
kellyDTFM R Documentation
Kelly-criterion for discrete-time financial market models
Description
Approximates the integral in the log utility problem and
then calls uniroot or Newton-Raphson solver to maximize it.
Usage
kellyDTFM(distr, param, rate = 0, h = 10^-4)
Arguments
distr
distribution name for the (daily) arithmetic returns
param
the parameters of the distribution
rate
the risk-neutral rate of the money-market account
h
step size to avoid numeric blow-ups
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/discreteTimeModels.R
| kellyDTFM | R Documentation |
Kelly-criterion for discrete-time financial market models
Description
Approximates the integral in the log utility problem and then calls uniroot or Newton-Raphson solver to maximize it.
Usage
kellyDTFM(distr, param, rate = 0, h = 10^-4)
Arguments
distr |
distribution name for the (daily) arithmetic returns |
param |
the parameters of the distribution |
rate |
the risk-neutral rate of the money-market account |
h |
step size to avoid numeric blow-ups |
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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