A Comparison of Simultaneous Kelly Betting Strategies

Andrew Grant and Peter Buchen
Additional contact information
Andrew Grant: University of Sydney
Peter Buchen: University of Sydney

Journal of Gambling Business and Economics, 2012, vol. 6, issue 2, 1-28

Abstract: In this paper we consider the problem of Kelly betting on simultaneous games, and the relative performance of betting strategies that use multibets compared to those that do not. We develop a simulation model based on the Dirichlet distribution to test the performance of three Kelly betting strategies using the empirical odds distribution from the 2007-08 English Premier League Season. This model allows us to control for the size of a bettor’s edge and the noise of this edge. The simulation results suggest that the Kelly using multibets of all levels outperforms the portfolio optimisation approach of betting on single game outcomes only. We also provide a discussion regarding the practicalities of implementing the strategies.

Keywords: Kelly Criterion; Gambling; Numerical Optimization; Asset Allocation (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ubplj.org/index.php/jgbe/article/view/579 (text/html)

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:buc:jgbeco:v:6:y:2012:i:2:p:1-28

Ordering information: This journal article can be ordered from
http://www.jgbe.com/index_files/Page492.htm

Access Statistics for this article

Journal of Gambling Business and Economics is currently edited by Leighton Vaughan Williams, Nottingham Business School

More articles in Journal of Gambling Business and Economics from University of Buckingham Press
Bibliographic data for series maintained by Dominic Cortis, University of Malta ().