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Optimal Gambling Systems For Favorable Games

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

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  • E. O. Thorp

Abstract

The following sections are included:INTRODUCTIONPART I. FAVORABLE GAMESBLACKJACKBACCARATROULETTETHE WHEEL OF FORTUNETHE STOCK MARKETPART II. A MATHEMATICAL THEORY FOR COMMITTING RESOURCES IN FAVORABLE GAMESINTRODUCTION: COIN TOSSINGMINIMIZING THE PROBABILITY OF RUINTHE KELLY CRITERIONTHE ADVANTAGES OF MAXIMIZING E LOG XnA STOCK MARKET EXAMPLEWARRANT HEDGINGPORTFOLIO SELECTION USING E LOG XTHE KELLY CRITERION AND DEFICIENCIES IN THE MARKOWITZ THEORY OF PORTFOLIO SELECTIONREFERENCES

Suggested Citation

  • E. O. Thorp, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 6, pages 61-80, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814293501_0006
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    Cited by:

    1. Tim Byrnes & Tristan Barnett, 2018. "Generalized Framework For Applying The Kelly Criterion To Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-13, August.

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