optimalItoProcess: Simulate log-optimal strategy for a given Ito process

In shill1729/kellyfractions: Optimize log returns

Simulate log-optimal strategy for a given Ito process

Description

Simulate log-optimal strategy for prices driven by an Ito process

Usage

optimalItoProcess(bankroll, t, spot, rate, dynamics, n = 1000)

Arguments

bankroll	initial bankroll to invest
t	time horizon to trade over
spot	the initial stock price
rate	the return of the bond
dynamics	list of drift and volatility function of (t, s)
n	number of time-steps to use in sample-path simulation

Details

The argument dynamics must be a named list of functions drift(t,x) and diffusion(t, x).

Value

data.frame of solution

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