A unified framework and general concavity conditions for optimal sports betting
A unified framework and general concavity conditions for optimal sports betting
The Kelly betting strategy is the optimal solution under log-utility for allocation of wealth among a range of alternative bets when at least one presents a positive expected return. This paper presents a unified framework for estimating Kelly strategies in all market types and conditions, including betting exchanges, where the bettor can place bets for and against an outcome. We present general concavity conditions that apply in most situations; when they do not, we elaborate on alternative methods for locating global optima
McDonald, David
8a3d2821-5c0b-47aa-8e9f-2de689158c43
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
July 2013
McDonald, David
8a3d2821-5c0b-47aa-8e9f-2de689158c43
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
McDonald, David, Sung, Ming-Chien and Johnson, Johnnie
(2013)
A unified framework and general concavity conditions for optimal sports betting.
26th European Conference on Operational Research, Rome, Italy.
30 Jun - 03 Jul 2013.
Record type:
Conference or Workshop Item
(Paper)
Abstract
The Kelly betting strategy is the optimal solution under log-utility for allocation of wealth among a range of alternative bets when at least one presents a positive expected return. This paper presents a unified framework for estimating Kelly strategies in all market types and conditions, including betting exchanges, where the bettor can place bets for and against an outcome. We present general concavity conditions that apply in most situations; when they do not, we elaborate on alternative methods for locating global optima
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Published date: July 2013
Venue - Dates:
26th European Conference on Operational Research, Rome, Italy, 2013-06-30 - 2013-07-03
Organisations:
Centre of Excellence for International Banking, Finance & Accounting
Identifiers
Local EPrints ID: 355010
URI: http://eprints.soton.ac.uk/id/eprint/355010
PURE UUID: caf9eae5-db35-42e1-87e6-265ee5a51aa4
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Date deposited: 25 Jul 2013 14:26
Last modified: 11 Dec 2021 03:59
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Contributors
Author:
David McDonald
Author:
Johnnie Johnson
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