S. Cavallero , A. Rousselot , R. Pugatch , L. Dinis , D. Lacoste
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引用次数: 0
Abstract
We study a generalization of Kelly’s horse model to situations where gambling on horses other than the winning horse does not lead to a complete loss of the investment. In such cases, the odds matrix is non-diagonal, which is particularly interesting for biological applications. We examine the trade-off between the mean growth rate and its asymptotic variance, an approximation for risk. Because the consequences of fluctuations around the average growth rate are asymmetric, we further explore a better alternative definition of risk: the extinction probability and its implications for Kelly gambling and the risk-return trade-off. We discuss some applications of these concepts in biology and ecology.
期刊介绍：
Physica A: Statistical Mechanics and its Applications
Recognized by the European Physical Society
Physica A publishes research in the field of statistical mechanics and its applications.
Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents.
Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.
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