Edward Thorpe Kelly criterion in blackjack, the sports

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Uploaded: 17.11.2004
Content: 41117210327303.rar (952,52 kB)
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Description

The central issue for the players - to find and make a bet with a positive expected gain. But the players also need to know how to manage their money, ie how much to bet. On the stock markets (including the securities market), the problem is similar to this, but it is more complicated. The player, who is now an investor, looking for the "big profits at a manageable level of risk." In both these cases, we examine the use of the Kelly criterion that maximizes the expected value of the logarithm of income ("maximizes the expected logarithmic utility").
This criterion is known economists and theoreticians-financiers under such names as "a strategy of maximizing the geometric mean of the portfolio," logarithmic utility maximization, optimal growth strategy, the criterion of capital growth, etc.
The author began the practical application of the Kelly criterion to use it for counting cards in blackjack. We will present some useful formulas and methods to respond to various natural questions about this, which arise in blackjack and other casino games. Then we illustrate its recent use in successful betting system for sports betting. Finally, we discuss its application to the securities market, where these techniques have helped the author to thirty years in total "bets" in the amount of $ 80 billion.

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