Abstract
This chapter is concerned with a betting system for superfair games, known as optimal proportional play or the Kelly system, that maximizes the long-term geometric rate of growth of the gambler’s fortune. Section 10.1 considers the case in which a single superfair betting opportunity is available at each coup. Section 10.2 assumes that multiple betting opportunities, at least one of which is superfair, are available at each coup. Finally, Section 10.3 establishes several optimality properties of the Kelly system.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Ethier, S.N. (2010). Optimal Proportional Play. In: The Doctrine of Chances. Probability and its Applications. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-78783-9_10
Download citation
DOI: https://doi.org/10.1007/978-3-540-78783-9_10
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-78782-2
Online ISBN: 978-3-540-78783-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)