Kelly betting is a strategy for gambling, maximizing one's log(money) every round, by betting a fixed fraction of one's income. I will define Kelly betting a certain class of discrete prediction markets, give a simple Kelly betting rule for these prediction markets, and show it equivalent to the original Kelly formula in a two-outcome case.
Simple Kelly betting in prediction markets
Simple Kelly betting in prediction markets
Simple Kelly betting in prediction markets
Kelly betting is a strategy for gambling, maximizing one's log(money) every round, by betting a fixed fraction of one's income. I will define Kelly betting a certain class of discrete prediction markets, give a simple Kelly betting rule for these prediction markets, and show it equivalent to the original Kelly formula in a two-outcome case.