This allows to link your profile to this item. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here.
ABSOLUTE WAGER HOW TO
See general information about how to correct material in RePEc.įor technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789811250217_0002. You can help correct errors and omissions. Suggested CitationĪll material on this site has been provided by the respective publishers and authors. We discuss lottery applications and good versus bad properties of the strategies. Fractional Kelly is associated with negative power utility when the assets are log normal and approximate otherwise for non lognormal assets. That gives more security but less wealth long term. So in some cases fractional Kelly, which blends full Kelly with cash, might be better. But is very risky short term since it has essentially zero Arrow-Pratt absolute risk aversion. For many applications it results in not diversifying investments but instead focusing on a small number of best opportunities. Kelly in 1956 showed its use in investments. Thus expected log was the chosen utility function. The idea goes back to Daniel Bernoulli in 1738 who postulated that there was declining marginal utility in wealth and it might be equal to the reciprocal of current wealth.
Many top investors in the futures market and in sports betting use Kelly investing since it maximizes long run growth almost surely.