kellyUniform: Newton-Raphson algorithm for solving optimal log utiltiy...
In shill1729/kellyfractions: Optimize log returns
kellyUniform R Documentation
Newton-Raphson algorithm for solving optimal log utiltiy under uniform distributions
Description
For finding the root of the function h(x)=\log((1+bx)/(1+ax))/(b-a)-x.
Usage
kellyUniform(interval, rate = 0, n = 500L)
Arguments
interval
the interval for the uniform distribution
rate
the risk-neutral rate
n
the number of iterations to take in the NR method.
Details
The algorithm is on wikipedia and quite straightforward.
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| kellyUniform | R Documentation |
Newton-Raphson algorithm for solving optimal log utiltiy under uniform distributions
Description
For finding the root of the function h(x)=\log((1+bx)/(1+ax))/(b-a)-x.
Usage
kellyUniform(interval, rate = 0, n = 500L)
Arguments
interval |
the interval for the uniform distribution |
rate |
the risk-neutral rate |
n |
the number of iterations to take in the NR method. |
Details
The algorithm is on wikipedia and quite straightforward.
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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