An explicit solution to the problem of optimizing the allocations of a bettor's wealth when wagering on horse races

zbMATH Open1197.49027MaRDI QIDQ3589535FDOQ3589535

Authors: Peter Smoczynski, Dave Tomkins 

Publication date: 20 September 2010

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zbMATH Keywords

random processesconstrained convex optimizationKelly criterionhorse racesoptimal wealth allocation

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Applications of mathematical programming (90C90) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (8)

• Game-theoretic analysis of an ancient Chinese horse race problem
• Kelly Betting on Horse Races with Uncertainty in Probability Estimates
• Title not available (Why is that?)
• Horse racing odds: can you beat the track by hedging your bets?
• In-game betting and the Kelly criterion
• A mathematical analysis of an exchange-traded horse race betting fund with deterministic payoff betting strategy for institutional investment to challenge EMH
• Growth optimal investment in horse race markets with costs
• Stochastic programming and optimization in horserace betting

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