optimalDTFM: Simulate log-optimal strategy for DTFM
In shill1729/kellyfractions: Optimize log returns
View source: R/discreteTimeModels.R
optimalDTFM R Documentation
Simulate log-optimal strategy for DTFM
Description
Simulates daily stock prices under the model and implements the strategy.
Assuming no trading costs, etc. Returns mean and total growth plus pnl.
Usage
optimalDTFM(n, spot, bankroll, distr, param, rate = 0, plotG = TRUE)
Arguments
n
number of days to simulate
spot
initial stock price
bankroll
initial bankroll
distr
distribution of daily arithmetic returns
param
parameters of the distribution
rate
risk-neutral rate
plotG
boolean for plotting on call
Value
list
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/discreteTimeModels.R
| optimalDTFM | R Documentation |
Simulate log-optimal strategy for DTFM
Description
Simulates daily stock prices under the model and implements the strategy. Assuming no trading costs, etc. Returns mean and total growth plus pnl.
Usage
optimalDTFM(n, spot, bankroll, distr, param, rate = 0, plotG = TRUE)
Arguments
n |
number of days to simulate |
spot |
initial stock price |
bankroll |
initial bankroll |
distr |
distribution of daily arithmetic returns |
param |
parameters of the distribution |
rate |
risk-neutral rate |
plotG |
boolean for plotting on call |
Value
list
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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