最高赔率游戏的动态凯利准则

The American Mathematical Monthly Pub Date : 2024-05-28 DOI:10.1080/00029890.2024.2351051

Nick Rubino, Maya Rebholz, Klaus Volpert

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摘要

1956 年，J.L. 凯利提供了一个公式，说明在赔率有利的掷硬币游戏中下注的最佳资金比例 f。我们证明，当赌注可以重复固定次数，但...

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A Dynamic Kelly Criterion for Games with a Maximum Payout

In 1956, J.L. Kelly provided the formula for the optimal portion f of one’s capital to bet on a coin toss with favorable odds. We show that when the bet can be repeated a fixed number of times, but...

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The American Mathematical Monthly

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