c**********e
发帖数: 2007 | 1 Statement
For simple bets with two outcomes, one involving losing the entire amount
bet, and the other involving winning the bet amount multiplied by the payoff
odds, the Kelly bet is:
f* = (bp-q)/b
where:
f* is the fraction of the current bankroll to wager;
b is the net odds received on the wager (that is, odds are usually quoted as
"b to 1")
p is the probability of winning;
q is the probability of losing, which is 1 − p. | I***e
发帖数: 1136 | 2 it optimizes expected log return.
payoff
as
【在 c**********e 的大作中提到】
: Statement
: For simple bets with two outcomes, one involving losing the entire amount
: bet, and the other involving winning the bet amount multiplied by the payoff
: odds, the Kelly bet is:
: f* = (bp-q)/b
: where:
: f* is the fraction of the current bankroll to wager;
: b is the net odds received on the wager (that is, odds are usually quoted as
: "b to 1")
: p is the probability of winning;
| C*******r
发帖数: 10 | 3 请问intuition是不是如果gambler的utility function是 log(Wealth) 时这个方法能
够产生最大的utility? |
|
