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arxiv: physics/0607166 · v1 · submitted 2006-07-18 · ⚛️ physics.soc-ph · physics.data-an· q-fin.PM

Kelly Criterion revisited: optimal bets

classification ⚛️ physics.soc-ph physics.data-anq-fin.PM
keywords kellybetscriterionadvantageallowsapproachboltzmannbookmaker
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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.

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