Article ID: | iaor19981389 |
Country: | United States |
Volume: | 44 |
Issue: | 7 |
Start Page Number: | 639 |
End Page Number: | 654 |
Publication Date: | Oct 1997 |
Journal: | Naval Research Logistics |
Authors: | Parlar M., Cetinkaya S. |
Keywords: | gaming |
We consider the optimal wagers to be made by a gambler who starts with a given initial wealth. The gambler faces a sequence of two-outcome games, i.e. ‘win’ vs. ‘lose,’ and wishes to maximize the expected value of his terminal utility. It has been shown by Kelly, Bellman, and others that if the terminal utility is of the form log