Abstract
Suppose you repeatedly play a game of chance in which you have the advantage. Your return on investment is your net gain divided by the total amount that you have bet. It is shown that the ratio of your return on investment under optimal proportional betting to your return on investment under constant betting converges to an exponential distribution with mean as your advantage tends to 0. The case of non-optimal proportional betting is also treated.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
32 articles.
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