Optimal betting under parameter uncertainty : improving the Kelly criterion
(2013)
Journal Article
Baker, R., & McHale, I. (2013). Optimal betting under parameter uncertainty : improving the Kelly criterion. Decision Analysis, 10(3), 189-199. https://doi.org/10.1287/deca.2013.0271
The Kelly betting criterion ignores uncertainty in the probability of winning the bet and uses an estimated probability. In general, such replacement of population parameters by sample estimates gives poorer out-of-sample than in-sample performance.... Read More about Optimal betting under parameter uncertainty : improving the Kelly criterion.