Kelly criterion revisited: optimal bets
Kelly 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
Volume (Year): 57 (2007)
Issue (Month): 2 (05)
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- S. Illeris & G. Akehurst, 2001. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 21(1), pages 1-4, January.
- Edward W. Piotrowski & Jan Sladkowski, . "Geometry of Financial Markets - Towards Information Theory Model of Markets," Departmental Working Papers 26, University of Bialtystok, Department of Theoretical Physics.
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