Skip to main content

Algorithms for optimal allocation of bets on many simultaneous events

Buy Article:

$51.00 plus tax (Refund Policy)



The problem of optimizing a number of simultaneous bets is considered, using primarily log-utility. Stochastic gradient-based algorithms for solving this problem are developed and compared with the simplex method. The solutions may be regarded as a generalization of ‘Kelly staking’ to the case of many simultaneous bets. Properties of the solutions are examined in two example cases using real odds from sports bookmakers. The algorithms that are developed also have wide applicability beyond sports betting and may be extended to general portfolio optimization problems, with any reasonable utility function.

Keywords: Gambling; Kelly staking; Log-utility; Portfolio optimization; Sports betting; Stochastic gradient ascent

Document Type: Research Article


Affiliations: Imperial College London, UK

Publication date: November 1, 2007

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more