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Jai Alai arbitrage strategies

  • Daniel Lane
  • William Ziemba
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    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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/1351847042000254239
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    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

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

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    Handle: RePEc:taf:eurjfi:v:10:y:2004:i:5:p:353-369
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    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.
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