Kelly Criterion revisited: optimal bets
classification
⚛️ physics.soc-ph
physics.data-anq-fin.PM
keywords
kellybetscriterionadvantageallowsapproachboltzmannbookmaker
read the original abstract
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 "no-go" hypothesis for big investors is suggested.
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