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The Kelly criterion and bet comparisons in spread betting

journal contribution
posted on 2023-06-08, 08:08 authored by John Haigh
The Kelly strategy, risking a fixed fraction of one's gambling capital each time when faced with a series of comparable favourable bets, is known to be optimal under several criteria. We review this work, interpret it in the context of spread betting and describe its operation with a performance index. Interlocking spread bets on the same sporting event are frequently offered. We suggest ways of investigating which of these bets may be most favourable, and how a gambler might make an overall comparison of the bets from different firms. Examples illustrate these notions.

History

Publication status

  • Published

Journal

The Statistician

ISSN

0039-0526

Publisher

Royal Statistical Society

Issue

4

Volume

49

Page range

531-539

ISBN

0039-0526

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-02-06

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