Some aspects of gambling with the Kelly criterion
Ravindra M. Phatarfod · 2007
In this paper we consider the problem of gambling with the Kelly Criterion, i.e. gambling so as to maximize the expected exponential rate of growth of capital. We consider gambling on games of chance such as horse races, as well as gambling involved in buying and selling of shares on the stock market. For both the situations we obtain results which in some way are surprising and run counter to intuition.