The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market¶
Thorp, E. O. (2006). The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. Handbook of Asset and Liability Management.
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Primes¶
- Variance Bounds Selection Response
- A breeding programme lacking genetic diversity will not respond to stricter cull rates; an exploration policy without exploration cannot improve however aggressively it exploits; a portfolio of nearly-identical assets cannot gain from rebalancing.
This sourcePortfolio of nearly identical assets cannot gain from rebalancing — variance as the binding term.
- A breeding programme lacking genetic diversity will not respond to stricter cull rates; an exploration policy without exploration cannot improve however aggressively it exploits; a portfolio of nearly-identical assets cannot gain from rebalancing.
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