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

MaRDI QIDQ3589535zbMATH OpenFDO

Authors Peter Smoczynski, Dave Tomkins

Publication date 20 September 2010

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)

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