The Kelly Criterion And Utility Function Optimisation For Stochastic Binary Games: Submartingale And Supermartingale Regimes

Steven D Miller

A reformulation of the Kelly Criterion is presented. Let $\mathfrak{G}$ be a generic stochastic Bernoulli binary game with outcomes $\mathcal{Z}(I)\in \{-1,1\}$ of N tria…