Chapman, S. J. (2006) The Kelly criterion for spread bets. IMA Journal of Applied Mathematics, 72 (1). pp. 4351. ISSN 14643634

PDF
69kB 
Official URL: http://imamat.oxfordjournals.org/cgi/content/short...
Abstract
The optimal betting strategy for a gambler betting on a discrete number of outcomes was determined by Kelly (1956, A new interpretation of information rate. J. Oper. Res. Soc., 57, 975–985). Here, the corresponding problem is examined for spread betting, which may be considered to have a continuous distribution of possible outcomes. Since the formulae for individual events are complicated, the asymptotic limit in which the gamblers edge is small is examined, which results in universal formulae for the optimal fraction of the bank to wager, the probability of bankruptcy and the distribution function of the gamblers total capital.
Item Type:  Article 

Uncontrolled Keywords:  gambling; strategy; optimal; bankruptcy; expectation 
Subjects:  O  Z > Probability theory and stochastic processes 
Research Groups:  Oxford Centre for Industrial and Applied Mathematics 
ID Code:  594 
Deposited By:  Jon Chapman 
Deposited On:  18 May 2007 
Last Modified:  29 May 2015 18:25 
Repository Staff Only: item control page