Properties of the Kelly bets for pairs of binary wagers

Bennett Eisenberg and Shuotao Diao

Statistics & Probability Letters, 2017, vol. 125, issue C, 215-219

Abstract: Formulas for the optimal Kelly bets when there is a pair of binary wagers are given. We show the relation to the Kelly bets for single binary wagers and show how the Kelly bets achieve mean variance optimality as well.

Keywords: Kelly bet; Binary wagers; Mean–variance optimality; Markowitz criterion (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.02.019

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