Kelly Betting Can Be Too Conservative
Kelly Betting Can Be Too Conservative
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Contents
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a large body of literature which includes arguments that the theory often leads to bets which are "too aggressive" with respect to various risk metrics. T...
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Kelly Betting Can Be Too Conservative
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TN_cdi_proquest_journals_2076960426
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2076960426
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E-ISSN
2331-8422
DOI
10.48550/arxiv.1710.01786
