The Kelly criterion for spread bets
The optimal betting strategy for a gambler betting on a discrete number of outcomes was determined by Kelly (1956, A new interpretation of information rate. J. Oper. Res. Soc., 57, 975-985). Here, the corresponding problem is examined for spread betting, which may be considered to have a continuous...
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| Format: | Journal article |
| Language: | English |
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2007
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