The Kelly system maximizes median fortune

DOI10.1239/jap/1101840570zbMath1062.60045OpenAlexW2164811216MaRDI QIDQ4660549

Stewart N. Ethier

Publication date: 4 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b8a2f998ceab2d8a139d56cbac205e75e55f0d0d

zbMATH Keywords

gamblingoptimal proportional betting

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

KELLY TRADING AND MARKET EQUILIBRIUM

Cites Work

• On the limiting behaviour of the mode and median of a sum of independent random variables
• The smallest uniform upper bound on the distance between the mean and the median of the binomial and Poisson distributions
• Optimal Investment Strategy for Risky Assets
• Unnamed Item
• Unnamed Item

This page was built for publication: The Kelly system maximizes median fortune