Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
  1. Home
  2. Search

Refine search

Refine search

Access:
Content type:
Publication date:
Apply   From and To filters
Subject: Show more
Journals Show more
Publishers: Show more
Societies Show more
Series: Show more
Collections: Show more

Actions for selected content:

Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Save to Kindle
  • Save to Dropbox
  • Save to Google Drive

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
Cancel
×

1 results

  • The Kelly system maximizes median fortune

  • Part of
  • S. N. Ethier
  • Journal:
    Journal of Applied Probability / Volume 41 / Issue 4 / December 2004
    Published online by Cambridge University Press:
    14 July 2016, pp. 1230-1236
    Print publication:
    December 2004

  • It is well known that the Kelly system of proportional betting, which maximizes the long-term geometric rate of growth of the gambler's fortune, minimizes the expected time required to reach a specified goal. Less well known is the fact that it maximizes the median of the gambler's fortune. This was pointed out by the author in a 1988 paper, but only under asymptotic assumptions that might cause one to question its applicability. Here we show that the result is true more generally, and argue that this is a desirable property of the Kelly system.