Gambling for Quants, Part 1: A Simple Fractional Betting System

19 Pages Posted: 10 Feb 2017

See all articles by Steven Moffitt

Steven Moffitt

Stuart School of Business, Illinois Institute of Technology

Date Written: February 9, 2017

Abstract

This is the first of a “Gambling for Quants” series that discusses the science of gambling for quantitatively trained market practitioners. Part 1 describes the well-known Kelly Criterion fractional betting system for simple coin flips. Most of the important ideas are understandable in this simple setting, but its generalization to portfolios of coins, and then to portfolios of financial instruments will be undertaken in later parts.

Keywords: Trading, Optimization, Risk Management

JEL Classification: G10, G11,C02, C61, C65

Suggested Citation

Moffitt, Steven, Gambling for Quants, Part 1: A Simple Fractional Betting System (February 9, 2017). Available at SSRN: https://ssrn.com/abstract=2914620 or http://dx.doi.org/10.2139/ssrn.2914620

Steven Moffitt (Contact Author)

Stuart School of Business, Illinois Institute of Technology ( email )

10 West 35th Street, 18th Floor
Chicago, IL 60616
United States
630-660-0400 (Phone)

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