Optimal Betting Under Parameter Uncertainty: Improving the Kelly Criterion

Link that can be used : https://pubsonline.informs.org/doi/abs/10.1287/deca.2013.0271

The term paper is expected to provide:

  • a clear description of the decision problem considered in the selected reference (3 pts),
  • a summary of the main results obtained in the paper (3 pts),
  • a discussion of the model and the results (4 pts),
  • systematic numerical experiments to explore a particular aspect or a variant of the problem (5 pts).

Sample Solution