The Kelly criterion and bet comparisons in spread betting

Haigh, John (2000) The Kelly criterion and bet comparisons in spread betting. The Statistician, 49 (4). pp. 531-539. ISSN 0039-0526

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Abstract

The Kelly strategy, risking a fixed fraction of one's gambling capital each time when faced with a series of comparable favourable bets, is known to be optimal under several criteria. We review this work, interpret it in the context of spread betting and describe its operation with a performance index. Interlocking spread bets on the same sporting event are frequently offered. We suggest ways of investigating which of these bets may be most favourable, and how a gambler might make an overall comparison of the bets from different firms. Examples illustrate these notions.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Depositing User: John Haigh
Date Deposited: 06 Feb 2012 20:53
Last Modified: 10 Jul 2012 11:53
URI: http://sro.sussex.ac.uk/id/eprint/28577
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