most citedA Generalization of the Classical Kelly Betting Formula to the Case of Temporal Correlation

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math.OC2020★ 5 cited

A Generalization of the Classical Kelly Betting Formula to the Case of Temporal Correlation

Joseph D. O'Brien, Kevin Burke, Mark E. Burke +1

For sequential betting games, Kelly's theory, aimed at maximization of the logarithmic growth of one's account value, involves optimization of the so-called betting fraction . I…