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Properties of the Kelly bets for pairs of binary wagers

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  • Eisenberg, Bennett
  • Diao, Shuotao

Abstract

Formulas for the optimal Kelly bets when there is a pair of binary wagers are given. We show the relation to the Kelly bets for single binary wagers and show how the Kelly bets achieve mean variance optimality as well.

Suggested Citation

  • Eisenberg, Bennett & Diao, Shuotao, 2017. "Properties of the Kelly bets for pairs of binary wagers," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 215-219.
    • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:215-219
    DOI: 10.1016/j.spl.2017.02.019
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    Cited by:

    1. Barge-Gil, Andrés & García-Hiernaux, Alfredo, 2019. "Staking plans in sports betting under unknown true probabilities of the event," MPRA Paper 92196, University Library of Munich, Germany.
    2. Andrés Barge-Gil & Alfredo Garcia-Hiernaux, 2020. "Staking in Sports Betting Under Unknown Probabilities: Practical Guide for Profitable Bettors," Journal of Sports Economics, , vol. 21(6), pages 593-609, August.

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