Further aspects of gambling with the Kelly criterion

Ravindra Phatarfod

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We consider two aspects of gambling with the Kelly criterion. Firstly, we show that for a wide range of final results for a series of games, the Kelly bettor would be worse off compared to a flat bets bettor. Secondly, we consider, for the Kelly bettor, situations similar to the gambler s (or his opponent s) ruin in the classical gambler s ruin problem. Here the end points are a reduction of the gambler s capital to a fraction, or its growth to a certain multiple, of its original value.
Original languageEnglish
Pages (from-to)47 - 56
Number of pages10
JournalThe Mathematical Scientist
Volume36
Issue number1
Publication statusPublished - 2011

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