Kelly criterion revisited: optimal bets
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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