Kelly criterion and fractional Kelly strategy for non-mutually exclusive bets

Abstract: This paper examines how the Kelly criterion, a strategy for maximizing the expected log-growth of capital through informed betting, can be applied to non-mutually exclusive bets. These are bets where there is no one-to-one correspondence between the bets and the possible outcomes of the game. This type of situation is common in horse racing, where multiple types of bets are available for a single race. The paper begins by providing a theoretical overview of the Kelly betting strategy and then discusses how it can be extended to non-mutually exclusive bets. A new formulation of the fractional Kelly strategy, which involves betting a fixed fraction of the amount suggested by the Kelly criterion, is also presented for this type of scenario.

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource
• Language: Englisch

References and Relationships

• Bibliographic citation: Kelly criterion and fractional Kelly strategy for non-mutually exclusive bets ; volume:19 ; number:1 ; year:2023 ; pages:37-42 ; extent:6 ; Journal of quantitative analysis in sports ; 19, Heft 1 (2023), 37-42 (gesamt 6)

Contributors, Places and Time

• Creator: Jacot, Benjamin P. ; Mochkovitch, Paul V.

Further information

• DOI: 10.1515/jqas-2020-0122
• URN: urn:nbn:de:101:1-2023030813091184415437
• Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 14.08.2025, 10:51 AM CEST