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Managing losses in exotic horse race wagering

Author

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  • Antoine Deza
  • Kai Huang
  • Michael R. Metel

Abstract

We consider a specialized form of risk management for betting opportunities with low payout frequency, presented in particular for exotic horse race wagering. An optimization problem is developed which limits losing streaks with high probability to the given time horizon of a gambler, which is formulated as a globally solvable mixed integer nonlinear program. A case study is conducted using one season of historical horse racing data.

Suggested Citation

  • Antoine Deza & Kai Huang & Michael R. Metel, 2018. "Managing losses in exotic horse race wagering," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 69(3), pages 319-325, March.
    • Handle: RePEc:taf:tjorxx:v:69:y:2018:i:3:p:319-325
    DOI: 10.1057/s41274-017-0213-8
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