Kelly criterion revisited: optimal bets
AbstractKelly 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. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007
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Bibliographic InfoArticle provided by Springer in its journal The European Physical Journal B.
Volume (Year): 57 (2007)
Issue (Month): 2 (05)
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Web page: http://www.springer.com/economics/journal/10051
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