Optimal sports betting strategies in practice: an experimental review

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F21%3A00348182" target="_blank" >RIV/68407700:21230/21:00348182 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1093/imaman/dpaa029" target="_blank" >https://doi.org/10.1093/imaman/dpaa029</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1093/imaman/dpaa029" target="_blank" >10.1093/imaman/dpaa029</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Optimal sports betting strategies in practice: an experimental review

Popis výsledku v původním jazyce

We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies and review their common modifications used in practice. The underlying purpose of the reviewed modifications is to mitigate the additional risk stemming from the unrealistic mathematical assumptions of the formal strategies. We test the resulting methods using a unified evaluation protocol for three sports: horse racing, basketball and soccer. The results show the practical necessity of the additional risk-control methods and demonstrate their individual benefits. Particularly, an adaptive variant of the popular `fractional Kelly’ method is a very suitable choice across a wide range of settings.

Název v anglickém jazyce

Optimal sports betting strategies in practice: an experimental review

Popis výsledku anglicky

We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies and review their common modifications used in practice. The underlying purpose of the reviewed modifications is to mitigate the additional risk stemming from the unrealistic mathematical assumptions of the formal strategies. We test the resulting methods using a unified evaluation protocol for three sports: horse racing, basketball and soccer. The results show the practical necessity of the additional risk-control methods and demonstrate their individual benefits. Particularly, an adaptive variant of the popular `fractional Kelly’ method is a very suitable choice across a wide range of settings.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA20-29260S" target="_blank" >GA20-29260S: Sdružené učení a optimalizace portfolií</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

IMA Journal of Management Mathematics

ISSN

1471-678X

e-ISSN

1471-6798

Svazek periodika

34

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

25

Strana od-do

465-489

Kód UT WoS článku

000696577200006

EID výsledku v databázi Scopus

2-s2.0-85115973101