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

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zbMATH Keywords

stochastic dynamic programminggamblingnonmyopic optimal policyoptimal wagersutility of terminal wealth

Mathematics Subject Classification ID

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

Cited In (7)

• The Action Gambler and Equal-Sized Wagering
• An optimal betting strategy for repeated games
• Optimal Control of Favorable Games with Expected Loss Constraint
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• Analysis of Kelly betting on finite repeated games
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• Some aspects of gambling with the Kelly criterion

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