wealthGoalEntropy: The sub-optimal log-growth obtained from reaching a wealth...

In shill1729/kellyfractions: Optimize log returns

The sub-optimal log-growth obtained from reaching a wealth goal by a terminal date

Description

The sub-optimal log-growth from maximizing the probability of the terminal wealth of a GBM-cash portfolio being greater than a fixed level, conditional on the initial wealth. This will always be less than the entropy from the pure Kelly case.

Usage

wealthGoalEntropy(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.