Kelly Criterion revisited: optimal bets

Edward Piotrowski () and Malgorzata Schroeder

Papers from arXiv.org

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.

Date: 2006-07
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/physics/0607166 Latest version (application/pdf)

Related works:
Journal Article: Kelly criterion revisited: optimal bets (2007)
Working Paper: Kelly Criterion Revisited: Optimal Bets
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:arx:papers:physics/0607166

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().