dtfm: Fit a discrete time daily returns distribution and get...
In shill1729/trader: Mathematical finance analysis package
dtfm R Documentation
Fit a discrete time daily returns distribution and get log-optimal allocation
Description
Looks up a stock's history on AV, estimates a return distribution
for daily-arithmetic returns, and then computes the optimal log utility criterion.
Usage
dtfm(symbol, distr = "unif", rate = 0)
Arguments
symbol
stock ticker to look up
distr
distribution to fit: "unif", "norm", more to come...
rate
risk-neutral rate
Value
list of fitted parameters, optimal allocation, and optimal growth (annualized)
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| dtfm | R Documentation |
Fit a discrete time daily returns distribution and get log-optimal allocation
Description
Looks up a stock's history on AV, estimates a return distribution for daily-arithmetic returns, and then computes the optimal log utility criterion.
Usage
dtfm(symbol, distr = "unif", rate = 0)
Arguments
symbol |
stock ticker to look up |
distr |
distribution to fit: "unif", "norm", more to come... |
rate |
risk-neutral rate |
Value
list of fitted parameters, optimal allocation, and optimal growth (annualized)
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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