Kelly criterion revisited: optimal bets

Edward Piotrowski () and M. Schroeder ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 57, issue 2, 201-203

Abstract: Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the Boltzmann/Shannon entropy. A “no-go” hypothesis for big investors is suggested. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 89.70.+c Information theory and communication theory, (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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DOI: 10.1140/epjb/e2007-00126-3

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