Arbitrage and Risk Arbitrage in Team Jai Alai

Daniel Lane and William T. Ziemba
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Daniel Lane: Telfer School of Management. University of Ottawa. Ottawa. ON., Canada
William T. Ziemba: Sauder School of Business, UBC, Vancouver, Canada and Mathematical Institute, Oxford University, UK and ICMA Centre. University of Reading, UK

Chapter 5 in Calendar Anomalies and Arbitrage, 2012, pp 125-143 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe present arbitrage and risk arbitrage betting strategies for team jai alai. Most of the results generalize to other sports betting situations and some financial market applications. The arbitrage conditions are utility free. The risk arbitrage wagers use the Kelly expected log criterion.

Keywords: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
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