相关论文: Managing losses in exotic horse race wagering

We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…

In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…

Much work in the parimutuel betting literature has discussed estimating event outcome probabilities or developing optimal wagering strategies, particularly for horse race betting. Some betting pools, however, involve betting not just on a…

We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets. We compare the distribution of implied winning odds, the…

This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…

Randomized search algorithms for hard combinatorial problems exhibit a large variability of performances. We study the different types of rare events which occur in such out-of-equilibrium stochastic processes and we show how they cooperate…

The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts and odds are 1:1. However, use of the…

We study the Online Bookmaking problem, where a bookmaker dynamically updates betting odds on the possible outcomes of an event. In each betting round, the bookmaker can adjust the odds based on the cumulative betting behavior of gamblers,…

Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…

In the last years, a growing number of challenging applications in navigation, logistics, and tourism were modeled as orienteering problems. This problem has been proposed in relation to a sport race where certain control points must be…

The orienteering problem is a well-studied and fundamental problem in transportation science. In the problem, we are given a graph with prizes on the nodes and lengths on the edges, together with a budget on the overall tour length. The…

Fighting Fantasy is a popular recreational fantasy gaming system worldwide. Combat in this system progresses through a stochastic game involving a series of rounds, each of which may be won or lost. Each round, a limited resource (`luck')…

We present an optimal hybrid control approach to the problem of stochastic route planning for sailing boats, especially in short course fleet races, in which minimum average time is an effective performance index. We show that the hybrid…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed…

We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field of research is called model-independent finance and has…

We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies, and review their common…

We consider a new framework where a continuous, though bounded, random variable has unobserved bounds that vary over time. In the context of univariate time series, we look at the bounds as parameters of the distribution of the bounded…

We introduce a betting game, where the gambler aims to guess the last success epoch from past observed data. The player may bet on the event that no further successes occur, or choose a `trap' which is any span of future times. In the…