optimalGBM: Simulate log-optimal strategy on mixture diffusions
In shill1729/kellyfractions: Optimize log returns
View source: R/geometricBrownianMotion.R
optimalGBM R Documentation
Simulate log-optimal strategy on mixture diffusions
Description
Simulate log-optimal strategy for prices under geometric Brownian motion. A wrapper
to optimalItoProcess.
Usage
optimalGBM(bankroll, t, spot, rate, parameters)
Arguments
bankroll
initial bankroll to invest
t
time horizon to trade over
spot
the initial stock price
rate
the return of the bond
parameters
drift and volatility
Details
The parameters must be a vector of drift and volatility.
Value
data.frame of solution
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/geometricBrownianMotion.R
| optimalGBM | R Documentation |
Simulate log-optimal strategy on mixture diffusions
Description
Simulate log-optimal strategy for prices under geometric Brownian motion. A wrapper
to optimalItoProcess.
Usage
optimalGBM(bankroll, t, spot, rate, parameters)
Arguments
bankroll |
initial bankroll to invest |
t |
time horizon to trade over |
spot |
the initial stock price |
rate |
the return of the bond |
parameters |
drift and volatility |
Details
The parameters must be a vector of drift and volatility.
Value
data.frame of solution
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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