kellyMerton: Kelly-criterion under Merton's jump diffusion

In shill1729/kellyfractions: Optimize log returns

Kelly-criterion under Merton's jump diffusion

Description

Compute the optimal allocation fraction under Merton's jump diffusion dynamics by root finding via Newton-Raphson's method.

Usage

kellyMerton(param, rate = 0, iterations = 500, subdivisions = 500, tol = 10^-6)

Arguments

param	vector of parameters defining the jump-diffusion dynamics. See details
rate	the risk-free rate, or money-market account interest rate
iterations	number of iterations to use in the Newton-Raphson method for finding the optimal control as a root
subdivisions	number of subdivisions to use in numerical integrations
tol	tolerance for the zero to be found.

Value

list

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