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 This email address is being protected from spambots. You need JavaScript enabled to view it. - b This email address is being protected from spambots. You need JavaScript enabled to view it.
Received:
31
August
2006
Revised:
18
December
2006
Published online:
11
May
2007
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.
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
