kellyPoisson: Kelly-fraction under geometric compensated Poisson dynamics
In shill1729/kellyfractions: Optimize log returns
kellyPoisson R Documentation
Kelly-fraction under geometric compensated Poisson dynamics
Description
Computes the optimal allocation for a risky stock
driven by a compensated Poisson process in terms of its log dynamics.
Usage
kellyPoisson(a, b, lambda, rate = 0)
Arguments
a
jump size
b
compensator size
lambda
mean-rate of jumps
rate
risk-free rate of return
Details
The optimal fraction is analytically known through the equation
\lambda/(r+b)-1/(e^a-1) where the log dynamics follow
X_t=aN_t-bt, a scaled and compensated Poisson process.
Value
numeric real number
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| kellyPoisson | R Documentation |
Kelly-fraction under geometric compensated Poisson dynamics
Description
Computes the optimal allocation for a risky stock driven by a compensated Poisson process in terms of its log dynamics.
Usage
kellyPoisson(a, b, lambda, rate = 0)
Arguments
a |
jump size |
b |
compensator size |
lambda |
mean-rate of jumps |
rate |
risk-free rate of return |
Details
The optimal fraction is analytically known through the equation
\lambda/(r+b)-1/(e^a-1) where the log dynamics follow
X_t=aN_t-bt, a scaled and compensated Poisson process.
Value
numeric real number
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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