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Quantitative Finance · Begrippenlijst

Wat is Growth rate?

Definition 29.2 Markets II: Rates, FX and Credit · Hoofdstuk 29 — Thinking in Expected Value

The growth rate of a staking rule is the expected logarithm of the ratio of wealth after a bet to wealth before it. Staking a fraction ff of wealth on a bet with odds bb and win probability pp, it is

g(f)=pln⁡(1+fb)+qln⁡(1−f).g(f) = p\ln(1 + fb) + q\ln(1 - f).
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