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.
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Bibliographic InfoPaper provided by University of Bialtystok, Department of Theoretical Physics in its series Departmental Working Papers with number 24.
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- Edward W. Piotrowski & Jan Sladkowski & Anna Szczypinska, 2007.
"Reinforcement learning in market games,"
- Edward W. Piotrowski & Jerzy Luczka, . "The relativistic velocity addition law optimizes a forecast gambler's profit," Departmental Working Papers 31, University of Bialtystok, Department of Theoretical Physics.
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