wealthGoalControl: The optimal control for reaching a wealth goal by a terminal...
In shill1729/kellyfractions: Optimize log returns
View source: R/reachingWealthGoal.R
wealthGoalControl R Documentation
The optimal control for reaching a wealth goal by a terminal date
Description
The optimal control for maximizing the probability of the terminal wealth
of a GBM-cash portfolio being greater than a fixed level, conditional on the initial wealth.
Usage
wealthGoalControl(t, x, b, maturity, mu, volat, rate)
Arguments
t
current time
x
initial wealth level
b
target wealth level
maturity
terminal date to hit the goal by
mu
the drift of the stock
volat
the volatility of the stock
rate
the risk-free rate from a cash-account, bond, etc
Value
numeric, matrix, vector
shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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View source: R/reachingWealthGoal.R
| wealthGoalControl | R Documentation |
The optimal control for reaching a wealth goal by a terminal date
Description
The optimal control for maximizing the probability of the terminal wealth of a GBM-cash portfolio being greater than a fixed level, conditional on the initial wealth.
Usage
wealthGoalControl(t, x, b, maturity, mu, volat, rate)
Arguments
t |
current time |
x |
initial wealth level |
b |
target wealth level |
maturity |
terminal date to hit the goal by |
mu |
the drift of the stock |
volat |
the volatility of the stock |
rate |
the risk-free rate from a cash-account, bond, etc |
Value
numeric, matrix, vector
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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