A Dynamic Kelly Criterion for Games with a Maximum Payout

DOI10.1080/00029890.2024.2351051MaRDI QIDQ6598534zbMATH OpenFDO

Authors Klaus Volpert

Publication date 5 September 2024

Published in American Mathematical Monthly (Search for Journal in Brave)

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)

Recommendations

• Analysis of Kelly betting on finite repeated games
• Optimal nonmyopic gambling strategy for the generalized Kelly criterion
• Kelly criterion: from a simple random walk to Lévy processes
• Further aspects of gambling with the Kelly criterion
• The Kelly Criterion and the Stock Market

Cites work

• Analysis of Kelly betting on finite repeated games
• DYNAMIC PROGRAMMING AND A NEW FORMALISM IN THE CALCULUS OF VARIATIONS
• Gambling Under Unknown Probabilities as Proxy for Real World Decisions Under Uncertainty
• Growth Versus Security in Dynamic Investment Analysis
• Optimal betting under parameter uncertainty: improving the Kelly criterion
• The Kelly Criterion and the Stock Market

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