Betting on Unpopular Lotto Numbers Using the Kelly Criterion

2015 ◽  
pp. 21-27
Keyword(s):  
Kelly Criterion

Do Mutation Rates Match the Kelly Criterion?

2020 ◽  
Vol 2 (1) ◽  
pp. 31
Author(s):  
Jonathan Bartlett
Keyword(s):  
Mutation Rates ◽  
Kelly Criterion

The Kelly Criterion defines an optimal betting strategy for games that have a defined risk and payoff. This letter explores the question of if this can be used as a methodology for analyzing mutation rates.

A kelly criterion based optimal scheduling of a microgrid on a steam-assisted gravity drainage (SAGD) facility

Energy ◽  
2020 ◽  
Vol 204 ◽  
pp. 117845
Author(s):  
Sagar N. Purkayastha ◽  
Yujun Chen ◽  
Ian D. Gates ◽  
Milana Trifkovic
Keyword(s):  
Optimal Scheduling ◽  
Gravity Drainage ◽  
Kelly Criterion ◽  
Steam Assisted Gravity Drainage

Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion

2013 ◽  
Vol 10 (3) ◽  
pp. 189-199 ◽  
Author(s):  
Rose D. Baker ◽  
Ian G. McHale
Keyword(s):  
Parameter Uncertainty ◽  
Kelly Criterion

IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES

2010 ◽  
Vol 13 (01) ◽  
pp. 93-112 ◽  
Author(s):  
YINGDONG LV ◽  
BERNHARD K. MEISTER
Keyword(s):  
Financial Markets ◽  
Diffusion Processes ◽  
General Setting ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Short Term ◽  
Kelly Criterion ◽  
Optimal Investment Strategy ◽  
Risk Free Rate ◽  
Free Rate

In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio in terms of drift, short term risk-free rate and correlations for a set of generic multi-dimensional diffusion processes satisfying some simple conditions. Properties of the optimal investment strategy are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.

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