Kelly Criterion Revisited: Optimal Bets

Edward Piotrowski () and Malgorzata Schroeder ()

Departmental Working Papers from University of Bialtystok, Department of Theoretical Physics

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.

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Related works:
Journal Article: Kelly criterion revisited: optimal bets (2007)
Working Paper: Kelly Criterion revisited: optimal bets (2006)
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