kellyCriterion: Compute univariate Kelly-criterion for a given distribution...

In shill1729/trader: Mathematical finance analysis package

Compute univariate Kelly-criterion for a given distribution of asset returns.

Description

Compute the Kelly-criterion log-optimal fraction under a variety of models for the distribution of period asset returns. Models include continuous time GBM, jump-GBM with normally, kou, and uniformly distributed jumps, as well as discrete-time models such as uniform, normal, gmm, and stable. Pass either the stock symbol ticker to look up data or pass the price-series itself.

Usage

kellyCriterion(
  model = "gbm",
  rate = 0,
  symbol = NULL,
  prices = NULL,
  period = "daily",
  key = "premium"
)

Arguments

model	the distribution used for the returns under which the Kelly criterion is to be computed
rate	the risk-free rate earned on a money-market account
symbol	the stock ticker to look up
prices	optinally pass the time-series of prices
period	for looking up by symbol, the period between prices (daily, intraday, weekly, monthly)
key	premium or free API key for Alpha-Vantage

Value

numeric

shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.