Kelly Criterion revisited: optimal bets
Physics and Society
2009-11-13 v1 Data Analysis, Statistics and Probability
Portfolio Management
Abstract
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the Boltzmann/Shannon entropy. A "no-go" hypothesis for big investors is suggested.
Cite
@article{arxiv.physics/0607166,
title = {Kelly Criterion revisited: optimal bets},
author = {Edward W. Piotrowski and Malgorzata Schroeder},
journal= {arXiv preprint arXiv:physics/0607166},
year = {2009}
}
Comments
APFA5 Conference, Torino, 2006