Optimal nonmyopic gambling strategy for the generalized Kelly criterion

DOI10.1002/(SICI)1520-6750(199710)44:7%3C639::AID-NAV3%3E3.0.CO;2-DzbMATH Open0887.90176OpenAlexW1979285776MaRDI QIDQ4363418FDOQ4363418

Authors M. Parlar, Sıla Çetinkaya

Publication date 6 November 1997

Full work available at URL https://doi.org/10.1002/(sici)1520-6750(199710)44:7%3C639::aid-nav3%3E3.0.co;2-d

zbMATH Keywords

stochastic dynamic programminggamblingnonmyopic optimal policyoptimal wagersutility of terminal wealth

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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