kellyItoProcess: Kelly-fraction for Ito process with coefficient functions of...
In shill1729/kellyfractions: Optimize log returns
kellyItoProcess R Documentation
Kelly-fraction for Ito process with coefficient functions of time and space.
Description
The generalized Kelly-fraction for space-time dependent coefficient functions
in Ito processes.
Usage
kellyItoProcess(t, s, dynamics, rate = 0, FUN = FALSE)
Arguments
t
current time, numeric
s
current price, numeric greater than zero
dynamics
list of drift and volatility coefficient functions of (t, x)
rate
risk-free rate of return
FUN
boolean default to false to return numeric, true to return function
Value
numeric or function
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| kellyItoProcess | R Documentation |
Kelly-fraction for Ito process with coefficient functions of time and space.
Description
The generalized Kelly-fraction for space-time dependent coefficient functions in Ito processes.
Usage
kellyItoProcess(t, s, dynamics, rate = 0, FUN = FALSE)
Arguments
t |
current time, numeric |
s |
current price, numeric greater than zero |
dynamics |
list of drift and volatility coefficient functions of |
rate |
risk-free rate of return |
FUN |
boolean default to false to return numeric, true to return function |
Value
numeric or function
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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