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Kelly criterion revisited: optimal bets

โœ Scribed by E. W. Piotrowski; M. Schroeder


Book ID
111622218
Publisher
Springer
Year
2007
Tongue
English
Weight
175 KB
Volume
57
Category
Article
ISSN
1434-6036

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โœ S. Cetinkaya; M. Parlar ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 101 KB

We consider the optimal wagers to be made by a gambler who starts with a given initial wealth. The gambler faces a sequence of two-outcome games, i.e., ''win'' vs. ''lose,'' and wishes to maximize the expected value of his terminal utility. It has been shown by Kelly, Bellman, and others that if the