optimalHeston: Simulate a sample-path of the Kelly-portfolio under Heston...

In shill1729/kellyfractions: Optimize log returns

Simulate a sample-path of the Kelly-portfolio under Heston dynamics

Description

A basic Euler-Maruyama scheme for simulating a sample path of a stochastic volatility price model and its corresponding Kelly-strategy.

Usage

optimalHeston(x0, s0, v0, tt, param, rate = 0, n = 1000, plotG = TRUE)

Arguments

x0	initial wealth to invest
s0	initial spot price of the stock
v0	initial (hidden) stochastic volatility level
tt	time horizon to simulate a path over
param	vector of kappa, theta, xi, mu, rho
rate	risk-free rate of cash-account, money-market account, or bond
n	number of time sub-intervals in sample-path
plotG	boolean for plotting the portfolio in the function body

Value

data.frame of time, volatility, stock-price, and portfolio-value

shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.