kellyGBM: The Kelly-fraction for a stock following GBM dynamics
In shill1729/kellyfractions: Optimize log returns
View source: R/geometricBrownianMotion.R
kellyGBM R Documentation
The Kelly-fraction for a stock following GBM dynamics
Description
The famous Kelly-fraction, the amount to invest
in a risky stock following a geometric Brownian motion.
Usage
kellyGBM(drift, volat, rate = 0, restraint = NULL)
Arguments
drift
the mean drift rate of the GBM
volat
the volatility of the GBM
rate
the risk-free rate of the bond
restraint
a number between 0 and 1, null for (possibly) leveraged Kelly
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/geometricBrownianMotion.R
| kellyGBM | R Documentation |
The Kelly-fraction for a stock following GBM dynamics
Description
The famous Kelly-fraction, the amount to invest in a risky stock following a geometric Brownian motion.
Usage
kellyGBM(drift, volat, rate = 0, restraint = NULL)
Arguments
drift |
the mean drift rate of the GBM |
volat |
the volatility of the GBM |
rate |
the risk-free rate of the bond |
restraint |
a number between 0 and 1, null for (possibly) leveraged Kelly |
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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