Gambling for Quants, Part 1: A Simple Fractional Betting System
19 Pages Posted: 10 Feb 2017
Date Written: February 9, 2017
This is the first of a “Gambling for Quants” series that discusses the science of gambling for quantitatively trained market practitioners. Part 1 describes the well-known Kelly Criterion fractional betting system for simple coin flips. Most of the important ideas are understandable in this simple setting, but its generalization to portfolios of coins, and then to portfolios of financial instruments will be undertaken in later parts.
Keywords: Trading, Optimization, Risk Management
JEL Classification: G10, G11,C02, C61, C65
Suggested Citation: Suggested Citation