https://doi.org/10.1140/epjb/e2007-00126-3
Kelly criterion revisited: optimal bets
Institute of Mathematics, University of Białystok, Lipowa 41, Pl, 15424 Białystok, Poland
Corresponding authors: a ep@alpha.uwb.edu.pl - b mszuli@math.uwb.edu.pl
Received:
31
August
2006
Revised:
18
December
2006
Published online:
11
May
2007
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.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.70.+c – Information theory and communication theory
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2007
