optimalPortfolio: Optimal long-short portfolios under geometric Brownian motion
In shill1729/trader: Mathematical finance analysis package
optimalPortfolio R Documentation
Optimal long-short portfolios under geometric Brownian motion
Description
Kelly-criterion for long and short portfolios under GBM with rolling
estimations. Price data will either be looked up or can be passed.
Usage
optimalPortfolio(
symbols,
rate = 0,
restraint = 1,
rollingPeriod = 60,
stocks = NULL
)
Arguments
symbols
portfolio of stocks
rate
risk-free rate on cash
restraint
percentage of wealth to go up to
rollingPeriod
rolling period size, can be NULL for full
stocks
default NULL, data returned from getStocks().
Value
data.frame
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| optimalPortfolio | R Documentation |
Optimal long-short portfolios under geometric Brownian motion
Description
Kelly-criterion for long and short portfolios under GBM with rolling estimations. Price data will either be looked up or can be passed.
Usage
optimalPortfolio( symbols, rate = 0, restraint = 1, rollingPeriod = 60, stocks = NULL )
Arguments
symbols |
portfolio of stocks |
rate |
risk-free rate on cash |
restraint |
percentage of wealth to go up to |
rollingPeriod |
rolling period size, can be |
stocks |
default NULL, data returned from |
Value
data.frame
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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