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A Comparison of Simultaneous Kelly Betting Strategies

Author

Listed:
  • Andrew Grant

    (University of Sydney)

  • Peter W. Buchen

    (University of Sydney)

Abstract

In this paper we consider the problem of Kelly betting on simultaneous games, and the relative performance of betting strategies that use multibets compared to those that do not. We develop a simulation model based on the Dirichlet distribution to test the performance of three Kelly betting strategies using the empirical odds distribution from the 2007-08 English Premier League Season. This model allows us to control for the size of a bettor’s edge and the noise of this edge. The simulation results suggest that the Kelly using multibets of all levels outperforms the portfolio optimisation approach of betting on single game outcomes only. We also provide a discussion regarding the practicalities of implementing the strategies.

Suggested Citation

  • Andrew Grant & Peter W. Buchen, 2012. "A Comparison of Simultaneous Kelly Betting Strategies," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 6(2), pages 1-28, August.
    • Handle: RePEc:buc:jgbeco:v:6:y:2012:i:2:p:1-28
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    More about this item

    Keywords

    Kelly Criterion; Gambling; Numerical Optimization; Asset Allocation;
    All these keywords.

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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