Modified Kelly criteria

Modified Kelly criteria AbstractThis paper considers an extension of the Kelly criterion used in sports wagering. By recognizing that the probability p of placing a correct wager is unknown, modified Kelly criteria are obtained that take the uncertainty into account. Estimators are proposed that are developed from a decision theoretic framework. We observe that the resultant betting fractions can differ markedly based on the choice of loss function. In the cases that we study, the modified Kelly fractions are smaller than original Kelly. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Quantitative Analysis in Sports de Gruyter

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Publisher
de Gruyter
Copyright
©2018 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1559-0410
eISSN
1559-0410
D.O.I.
10.1515/jqas-2017-0122
Publisher site
See Article on Publisher Site

Abstract

AbstractThis paper considers an extension of the Kelly criterion used in sports wagering. By recognizing that the probability p of placing a correct wager is unknown, modified Kelly criteria are obtained that take the uncertainty into account. Estimators are proposed that are developed from a decision theoretic framework. We observe that the resultant betting fractions can differ markedly based on the choice of loss function. In the cases that we study, the modified Kelly fractions are smaller than original Kelly.

Journal

Journal of Quantitative Analysis in Sportsde Gruyter

Published: Mar 28, 2018

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