In-game betting and the Kelly criterion
| dc.contributor.author | Andersen, Robin | |
| dc.contributor.author | Hassel, Vegard | |
| dc.contributor.author | Hvattum, Lars Magnus | |
| dc.contributor.author | Stalhane, Magnus | |
| dc.coverage.issue | 2 | cs |
| dc.coverage.volume | 9 | cs |
| dc.date.accessioned | 2021-07-02T10:21:18Z | |
| dc.date.available | 2021-07-02T10:21:18Z | |
| dc.date.issued | 2020 | cs |
| dc.description.abstract | When a bet with a positive expected return is available, the Kelly crite-rion can be used to determine the fraction of wealth to wager so as to maximizethe expected logarithmic return on investment. Several variants of the Kelly cri-terion have been developed and used by investors and bettors to maximize theirperformance in inefficient markets. This paper addresses a situation that has not,hitherto, been discussed in academic literature: when multiple bets can be placedon the same object and the available odds, true probabilities, or both, vary overtime. Such objects are frequently available in sports betting markets, for example,in the case of in-game betting on outcomes of soccer matches. We adapt the Kellycriterion to support decisions in such live betting scenarios, and provide numericalexamples of how optimal bet sizes can sometimes be counter-intuitive. | en |
| dc.format | text | cs |
| dc.format.extent | 67-81 | cs |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | Mathematics for Applications. 2020 vol. 9, č. 2, s. 67-81. ISSN 1805-3629 | cs |
| dc.identifier.doi | 10.13164/ma.2020.06 | en |
| dc.identifier.issn | 1805-3629 | |
| dc.identifier.uri | http://hdl.handle.net/11012/200389 | |
| dc.language.iso | en | cs |
| dc.publisher | Vysoké učení technické v Brně, Fakulta strojního inženýrství, Ústav matematiky | cs |
| dc.relation.ispartof | Mathematics for Applications | en |
| dc.relation.uri | http://ma.fme.vutbr.cz/archiv/9_2/ma_9_2_andersen_et_al_final.pdf | cs |
| dc.rights | © Vysoké učení technické v Brně, Fakulta strojního inženýrství, Ústav matematiky | cs |
| dc.rights.access | openAccess | en |
| dc.title | In-game betting and the Kelly criterion | en |
| dc.type.driver | article | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
| eprints.affiliatedInstitution.department | Ústav matematiky | cs |
| eprints.affiliatedInstitution.faculty | Fakulta strojního inženýrství | cs |
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