Summary
Optimal Gambling Strategies are defined as those that maximize the expected utility of the gambler’s fortune after a given number N of trials, at each of which he can bet at most his current wealth. They are discussed in terms of betting on a biassed coin with probability p > 0.5 for heads. We also develop a Bayesian approach to the case of an unknown bias. Dynamic Programming is the principal tool of this analysis.
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References
Bellman, Richard (1957): Dynamic Programming; Princeton: Princeton University Press.
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© 1995 Physica-Verlag Heidelberg
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Beckmann, M. (1995). Optimal Gambling Strategies. In: Rinne, H., Rüger, B., Strecker, H. (eds) Grundlagen der Statistik und ihre Anwendungen. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-93636-4_9
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DOI: https://doi.org/10.1007/978-3-642-93636-4_9
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-93637-1
Online ISBN: 978-3-642-93636-4
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