Kelly criterion for variable pay-off

Ricardo P\'erez-Marco

Papers from arXiv.org

Abstract: We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.

Date: 2014-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1411.3615

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