Kelly Betting on Horse Races with Uncertainty in Probability Estimates

Published Online:https://doi.org/10.1287/deca.2017.0359

References

  • Atchison J, Shen SM (1980) Logistic-normal distributions: Some properties and uses. Biometrika 67(2):261–272.CrossrefGoogle Scholar
  • Baker RD, McHale IG (2013) Optimal betting under parameter uncertainty: Improving the Kelly criterion. Decision Anal. 10(3):189–199.LinkGoogle Scholar
  • Benter W (1994) Computer based horse race handicapping and wagering systems: A report. Hausch D, Lo V, Ziemba W, eds. Efficiency of Racetrack Betting Markets (World Scientific, Singapore), 183–198.Google Scholar
  • Bolton RN, Chapman RG (1986) Searching for positive returns at the track: A multinomial logic model for handicapping horse races. Management Sci. 32(8):1040–1060.LinkGoogle Scholar
  • Boyd S, Vandenberghe L (2004) Convex Optimization (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Hausch DB, Ziemba WT, Rubinstein M (1981) Efficiency of the market for racetrack betting. Management Sci. 27(12):1435–1452.LinkGoogle Scholar
  • Kelly JL (1956) A new interpretation of information rate. IRE Trans. Inform. Theory 2(3):185–189.CrossrefGoogle Scholar
  • MacLean LC, Ziemba WT, Blazenko G (1992) Growth versus security in dynamic investment analysis. Management Sci. 38(11):1562–1585.LinkGoogle Scholar
  • McFadden D (1974) Conditional Logit Analysis of Qualitative Choice Behavior. Zarembka P, ed. Frontiers in Econometrics (Academic Press, New York), 105–142.Google Scholar
  • Poundstone W (2005) Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street (Hill and Wang, New York).Google Scholar
  • Shapiro A, Dentcheva D, Ruszczyński A (2009) Lectures on Stochastic Programming: Modeling and Theory (SIAM, Philadelphia).CrossrefGoogle Scholar
  • Smoczynski P, Tomkins D (2010) An explicit solution to the problem of optimizing the allocations of a bettor’s wealth when wagering on horse races. Math. Scientist 35(1):10–17.Google Scholar
  • Thorp EO (2006) The Kelly criterion in blackjack, sports betting, and the stock market. Zenios S, Ziemba W, eds. Handbook of Asset and Liability Management, Vol. I (Elsevier, Amsterdam), 385–428.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.