kellyMixtureDiffusion: Kelly-criterion for mixture diffusions
In shill1729/kellyfractions: Optimize log returns
View source: R/mixtureDiffusion.R
kellyMixtureDiffusion R Documentation
Kelly-criterion for mixture diffusions
Description
Straightforward generalization of the classic Kelly-fraction for
functions of time and space, specialized to mixture coefficients. A wrapper to kellyItoProcess.
Usage
kellyMixtureDiffusion(t, s, spot, rate, param, FUN = FALSE)
Arguments
t
current time
s
current price
spot
initial price
rate
the discounting rate/money-market account return
param
matrix with rows probs, mus, sigmas for the components
FUN
boolean whether to return numeric or function
Value
numeric
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/mixtureDiffusion.R
| kellyMixtureDiffusion | R Documentation |
Kelly-criterion for mixture diffusions
Description
Straightforward generalization of the classic Kelly-fraction for
functions of time and space, specialized to mixture coefficients. A wrapper to kellyItoProcess.
Usage
kellyMixtureDiffusion(t, s, spot, rate, param, FUN = FALSE)
Arguments
t |
current time |
s |
current price |
spot |
initial price |
rate |
the discounting rate/money-market account return |
param |
matrix with rows probs, mus, sigmas for the components |
FUN |
boolean whether to return numeric or function |
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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