A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Extends Kelly Criterion to more complex betting scenarios.
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a large body of literature which includes arguments that the theory often leads to bets which are "too aggressive" with resp…
Paper approximates Kelly betting for wealth growth.
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…
Investigates sports betting strategies using modern portfolio theory and Kelly criterion.
Two methods extend multivariate Kelly optimization to large problem sizes.
A quantum memory model for Kelly betting with amplified or attenuated outcomes.
Solves the Sleeping Beauty problem as a 'thirder' using the Kelly Criterion.
This paper optimizes sports betting strategies using neural networks and portfolio theory.
Paper introduces new risk measures for Kelly criterion.
Optimal Kelly strategy for multi-outcome parlay bets proven using implicit cash approach.
Optimizes financial decisions with illiquid assets using Kelly criterion.
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown probability; using this bound instead of the original risk constraint yields a conv…
The Kelly Criterion is applied to prediction markets to analyze risk and return.
We prove that Pareto theory of circulation of elites results from our wealth evolution model, Kelly criterion for optimal betting and Keynes' observation of "animal spirits" that drive the economy and cause that human financial decisions are prone to excess risk-taking.
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization of the expected value of the logarithmic growth of wealth. While significant literature exists providing the rationale …
The Kelly rule fails to maximize growth in a time-changed return setting.
The paper finds the optimal wealth growth rate in betting games.
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The game is defined by a sequence of bets with independent and identically distributed returns X(k). The bettor selects the fraction of wealth K wa…
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly'…
Quantum strategy optimizes wealth growth in a double-or-nothing game.
In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing literature, our focal point here is the rebalancing frequency which we include as an additional parameter in our analysis. The problem is first s…
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e. the market portfolio). Rather than, say, the broker posting a m…
This paper explores using nonlinear control for robust logarithmic growth in coin flipping games.
Mathematical model for focused investing reduces diversification risks.
A new method for optimizing stakes in a single event with multiple outcomes.
In evaluating prediction markets (and other crowd-prediction mechanisms), investigators have repeatedly observed a so-called "wisdom of crowds" effect, which roughly says that the average of participants performs much better than the average participant. The market price---an average or at least aggregate of traders' b…
The paper analyzes optimal overbetting strategies for a satellite investment account.
The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative finance, in order to assess the profitability of the strategy in the short term. The tools of backtesting and walk-for…
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
Kelly investing improved with options to reduce estimation risk.
A new portfolio model improves on Kelly's by accounting for estimation error.
Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market returns for the NFL, NBA, NCAAF, NCAAB, and WNBA betting markets. To formulate our betting strategy, we collected and …
We develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be calculated by inverting a matrix involving only first and second moments. The fra…
We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. For lognormally distributed asset returns, we derive approximate analytical results for the optimal investment fractions in various settings. We show that when mean returns and volatilities of the assets are small and ther…
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [Kelly (1956)] that incorporates these features, and us…
Law of iterated logarithm derived from betting strategy.
BBE simulates sports betting exchanges for data generation.
BBE simulates betting exchanges to generate synthetic data for AI research.
This paper extends Kelly Criterion to include rebalancing frequency for optimal portfolio selection.
Modeling horse race betting odds with Ornstein-Uhlenbeck process.
Two entropy measures quantify suboptimal portfolio performance.
In the UK betting market, bookmakers often offer a free coupon to new customers. These free coupons allow the customer to place extra bets, at lower risk, in combination with the usual betting odds. We are interested in whether a customer can exploit these free coupons in order to make a sure gain, and if so, how the c…
A new factor analysis method using ICA reduces portfolio concentration and diversifies excess kurtosis.
Investment strategy using fractional Kelly portfolios for better growth expectations.
We propose a novel "tree-averaging" model that utilizes the ensemble of classification and regression trees (CART). Each constituent tree is estimated with a subset of similar data. We treat this grouping of subsets as Bayesian ensemble trees (BET) and model them as an infinite mixture Dirichlet process. We show that B…
New betting strategy reduces regret to ln(ln n) with protection against adversarial data.
Gamblers lose in long bets despite casino claims, study shows.