A COMPARISON OF SIMULTANEOUS KELLY BETTING STRATEGIES

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Published: Jan 2, 2013
DOI: https://doi.org/10.5750/jgbe.v6i2.579
Keywords:
Kelly Criterion Gambling Numerical Optimization Asset Allocation

Main Article Content

Andrew Grant
Discipline of Finance, School of Business, The University of Sydney
Peter W Buchen
School of Business, The University of Sydney

Abstract

In this paper we consider the problem of Kelly betting on simultaneous games, and the relative performance of betting strategies that use multibets compared to those that do not. We develop a simulation model based on the Dirichlet distribution to test the performance of three Kelly betting strategies using the empirical odds distribution from the 2007-08 English Premier League Season. This model allows us to control for the size of a bettor’s edge and the noise of this edge. The simulation results suggest that the Kelly using multibets of all levels outperforms the portfolio optimisation approach of betting on single game outcomes only. We also provide a discussion regarding the practicalities of implementing the strategies.

Article Details

Issue
Vol. 6 No. 2 (2012)
Section
Articles

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