Application of the Kelly Criterion to Prediction Markets
Fuente:
arXiv
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866910751506038784 |
|---|---|
| author | Meister, Bernhard K |
| author_facet | Meister, Bernhard K |
| contents | Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified payout structure is proposed. A simple asset price model based on flipping biased coins is investigated. It is shown using the Kullback-Leibler divergence how the misjudgment of the bias and the miscalculation of the investment fraction influence the portfolio growth rate. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_14144 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Application of the Kelly Criterion to Prediction Markets Meister, Bernhard K Portfolio Management Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified payout structure is proposed. A simple asset price model based on flipping biased coins is investigated. It is shown using the Kullback-Leibler divergence how the misjudgment of the bias and the miscalculation of the investment fraction influence the portfolio growth rate. |
| title | Application of the Kelly Criterion to Prediction Markets |
| topic | Portfolio Management |
| url | https://arxiv.org/abs/2412.14144 |