Modern and post-modern portfolio theory as applied to moneyline betting

IF 1.1 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Journal of Quantitative Analysis in Sports Pub Date : 2023-02-13 DOI:10.1515/jqas-2021-0107

D. Harville

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Abstract

Abstract Modern and post-modern portfolio theory were devised by Harry Markowitz (among others) for purposes of allocating some monetary resources among a number of financial assets so as to strike a suitable balance between risk and expected return. The problem it addresses bears a considerable resemblance to one encountered in making “moneyline” bets on the outcomes of contests in sports like American football. In distributing some allotted funds among a number of such bets, it may be desired to account for the risk. By introducing suitable modifications, the procedures employed in modern and post-modern portfolio theory for the allocation of resources among financial assets can be adapted for use in the distribution of funds among multiple bets. As in the case of financial assets, the most appropriate measures of risk are ones like the semi-deviation or semi-variance that penalize only negative or below-target returns. The various procedures are illustrated and compared by applying them retrospectively to moneyline bets on the outcomes of the college football “bowl” games from the 2020 season.

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现代和后现代投资组合理论在金钱投注中的应用

现代和后现代投资组合理论是哈里·马科维茨(Harry Markowitz)等人提出的，其目的是在若干金融资产中分配一定的货币资源，以在风险和预期收益之间取得适当的平衡。它解决的问题与对美式足球等体育赛事的比赛结果进行“下注”时遇到的问题有很大的相似之处。在若干这样的赌注中分配一些已分配的资金时，可能需要考虑风险。通过引入适当的修改，现代和后现代投资组合理论中用于在金融资产中分配资源的程序可以适用于在多个赌注中分配资金。与金融资产的情况一样，最合适的风险衡量标准是半偏差或半方差，它们只会惩罚负或低于目标的回报。本文通过对2020赛季大学橄榄球“碗”比赛结果的赌注进行回顾性分析，对各种程序进行了说明和比较。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Quantitative Analysis in Sports SOCIAL SCIENCES, MATHEMATICAL METHODS-

CiteScore

2.00

自引率

12.50%

发文量

期刊介绍： The Journal of Quantitative Analysis in Sports (JQAS), an official journal of the American Statistical Association, publishes timely, high-quality peer-reviewed research on the quantitative aspects of professional and amateur sports, including collegiate and Olympic competition. The scope of application reflects the increasing demand for novel methods to analyze and understand data in the growing field of sports analytics. Articles come from a wide variety of sports and diverse perspectives, and address topics such as game outcome models, measurement and evaluation of player performance, tournament structure, analysis of rules and adjudication, within-game strategy, analysis of sporting technologies, and player and team ranking methods. JQAS seeks to publish manuscripts that demonstrate original ways of approaching problems, develop cutting edge methods, and apply innovative thinking to solve difficult challenges in sports contexts. JQAS brings together researchers from various disciplines, including statistics, operations research, machine learning, scientific computing, econometrics, and sports management.