Markowitz portfolio theory for soccer spread betting
Fitt, Alistair D. (2009) Markowitz portfolio theory for soccer spread betting. IMA Journal of Management Mathematics, 20, (2), 167-184. (doi:10.1093/imaman/dpn028).
Full text not available from this repository.
Soccer spread betting is analysed using standard probabilistic methods assuming that goals are scored in a match according to Poisson distributions with constant means. A number of different possible forms of ‘edge’ (betting advantage) is identified. It is shown how the centre spreads of the more common bets in the ‘bet universe’ may be calculated. A more general question is then addressed, namely, how a punter should invest if they take a view that the online bookmakers have fixed the goal means incorrectly or some other edge is in their favour. It is shown that a Markowitz portfolio theory framework may be set up in such cases. This leads to the definitions of an ‘efficient betting frontier’ and an ‘optimal bet portfolio’. Examples are used throughout to illustrate the theory that is developed.
|Digital Object Identifier (DOI):||doi:10.1093/imaman/dpn028|
|Keywords:||spread betting, portfolio theory, soccer betting, arbitrage, sports betting|
|Subjects:||G Geography. Anthropology. Recreation > GV Recreation Leisure
Q Science > QA Mathematics
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
|Divisions:||University Structure - Pre August 2011 > School of Mathematics > Applied Mathematics
|Date Deposited:||03 Apr 2009|
|Last Modified:||31 Mar 2016 12:51|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)