The European Physical Journal B

, Volume 57, Issue 2, pp 201–203 | Cite as

Kelly criterion revisited: optimal bets

Topical Issue on Physics in Society

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.

PACS.

89.65.Gh Economics; econophysics, financial markets, business and management 89.70.+c Information theory and communication theory 

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References

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Copyright information

© EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Authors and Affiliations

  1. 1.Institute of Mathematics, University of BiałystokBiałystokPoland

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