Kelly criterion revisited: optimal bets
Institute of Mathematics, University of Białystok, Lipowa 41, Pl, 15424 Białystok, Poland
Corresponding authors: a email@example.com - b firstname.lastname@example.org
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