Abstract
We consider the optimal wagers to be made by a gambler facing cointossing games who desires to maximize the expected value of the utility of his final fortune in a fixed number n of plays. In the case of fixed probability of a win, the optimal bet is shown to be increasing in the probability. In the case of unknown probability of a win, the wager is shown to be monotone in the prior distribution under the monotone likelihood ratio ordering of these distributions.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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