Wrapper to iterate E and M steps.

EM(Rr, Rf, max_iteration = 100, valuefunction = value_varmean,
  M = NROW(Rr[[1]]), Tn = length(Rr) - 1, ini_W = 1000,
  discount = 1/1.01, lambda = 1/2, para = NULL,
  early_stop = ceiling(max_iteration/5))

Arguments

Rr

List of matrix. The rertuns of the assets. Each list is for one time point and each column in the matrix is one assets.

Rf

Scalar. The risk free rate. e.g. 1.01

valuefunction

Function. The function that returns the value being optimised. The first argument needs to be the parameter to optimise.

M

Integer. The number of instances for one assets at a time

Tn

Integer. The length of time horizon. Not including 0.

ini_W

Scalar. The initial wealth.

discount

Scalar. The rate of discount. e.g. 1/1.01

lambda

The scalar that make the calculation easiler.

para

Matrix. Initial value of all the paramters. Each column is a parameter and each row is a time point.

See also

round_EM