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Arbitrage and Risk Arbitrage in Team Jai Alai

In: Calendar Anomalies And Arbitrage

Author

Listed:
  • Daniel Lane

    (Telfer School of Management. University of Ottawa. Ottawa. ON., Canada)

  • William T. Ziemba

    (Sauder School of Business, UBC, Vancouver, Canada and Mathematical Institute, Oxford University, UK and ICMA Centre. University of Reading, UK)

Abstract

We present arbitrage and risk arbitrage betting strategies for team jai alai. Most of the results generalize to other sports betting situations and some financial market applications. The arbitrage conditions are utility free. The risk arbitrage wagers use the Kelly expected log criterion.

Suggested Citation

  • Daniel Lane & William T. Ziemba, 2012. "Arbitrage and Risk Arbitrage in Team Jai Alai," World Scientific Book Chapters, in: Calendar Anomalies And Arbitrage, chapter 5, pages 125-143, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814405461_0005
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