Advanced Search
MyIDEAS: Login to save this article or follow this journal

Jai Alai arbitrage strategies

Contents:

Author Info

  • Daniel Lane
  • William Ziemba
Registered author(s):

    Abstract

    This paper presents arbitrage and risk arbitrage betting strategies for Team Jai Alai. This game is the setting for the analysis and most results generalize to other sports betting situations and some financial market applications. The arbitrage conditions are utility free while the risk arbitrage wagers are constructed according to the Kelly criterion/capital growth theory that maximizes asymptotically long-run wealth almost surely.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.tandfonline.com/doi/abs/10.1080/1351847042000254239
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

    Volume (Year): 10 (2004)
    Issue (Month): 5 ()
    Pages: 353-369

    as in new window
    Handle: RePEc:taf:eurjfi:v:10:y:2004:i:5:p:353-369

    Contact details of provider:
    Web page: http://www.tandfonline.com/REJF20

    Order Information:
    Web: http://www.tandfonline.com/pricing/journal/REJF20

    Related research

    Keywords: arbitrage; risk arbitrage; hedging; sequential investing;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. L. C. MacLean & W. T. Ziemba & G. Blazenko, 1992. "Growth Versus Security in Dynamic Investment Analysis," Management Science, INFORMS, vol. 38(11), pages 1562-1585, November.
    2. Baesel, Jerome & Grant, Dwight, 1982. "Optimal Sequential Futures Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(05), pages 683-695, December.
    3. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos, 2009. "How efficient is the European football betting market? Evidence from arbitrage and trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 426-444.
    2. Marshall, Ben R., 2009. "How quickly is temporary market inefficiency removed?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 917-930, August.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:10:y:2004:i:5:p:353-369. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.