Probability

The Kelly Criterion in Gambling: Implementation

Some readers may want to try using the Kelly Criterion, so I have included the source code in VBA and python. This will probably be the last in "The Kelly Criterion in Gambling" series.

2024.07.20

Probability

The Probability Distribution of Composites of Normal Random Numbers

For two random numbers that follow a normal distribution, the probability distribution that their sum, product, ratio, etc. follow is shown.

2024.07.18

Probability

Extension of the Kelly Criterion in Gambling: Mean-Variance Utility Function

As another variant of the Kelly criterion, we define the utility function in terms of the mean and variance of the assets and consider the problem of maximizing it.

2024.07.12

Probability

Extension of the Kelly Criterion in Gambling: CRRA-type Utility Function

In this article, we extend the Kelly criterion to a more general utility function (CRRA-type utility function) and explain how to determine a betting portfolio based on a gambler's risk aversion.

2024.07.06

EconomicsProbability

The Kelly Criterion in Gambling

This article will explain the specific calculation method of the Kelly criterion in gambling according to Kelly's paper.

2024.06.24

Probability