Modified Kelly criteria

Chu Dani, Wu Yifan and Swartz Tim B. ()
Additional contact information
Chu Dani: Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby BC V5A1S6, Canada
Wu Yifan: Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby BC V5A1S6, Canada
Swartz Tim B.: Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby BC V5A1S6, Canada

Journal of Quantitative Analysis in Sports, 2018, vol. 14, issue 1, 1-11

Abstract: This paper considers an extension of the Kelly criterion used in sports wagering. By recognizing that the probability p of placing a correct wager is unknown, modified Kelly criteria are obtained that take the uncertainty into account. Estimators are proposed that are developed from a decision theoretic framework. We observe that the resultant betting fractions can differ markedly based on the choice of loss function. In the cases that we study, the modified Kelly fractions are smaller than original Kelly.

Keywords: Bayes estimation; Kelly criterion; loss functions; minimax estimation (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1515/jqas-2017-0122 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jqsprt:v:14:y:2018:i:1:p:1-11:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jqas/html

DOI: 10.1515/jqas-2017-0122

Access Statistics for this article

Journal of Quantitative Analysis in Sports is currently edited by Mark Glickman

More articles in Journal of Quantitative Analysis in Sports from De Gruyter
Bibliographic data for series maintained by Peter Golla ().