Kelly Criterion revisited: optimal bets

Details Kelly Criterion revisited: optimal bets Kelly Criterion revisited: optimal bets

2006-07-18

arxiv.org/abs/physics/0607166v1

Physics

Physics and Society

APFA5 Conference, Torino, 2006

Scientific paper

10.1140/epjb/e2007-00126-3

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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