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arXiv · 1411.3615

Kelly criterion for variable pay-off

Ricardo Pérez-Marco
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Abstract

We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.

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Ricardo Pérez-Marco. 2014-11-13. Kelly criterion for variable pay-off. https://arxiv.org/abs/1411.3615

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