|
|||||
|
|
Jai Alai arbitrage strategies |
|
| Authors: | Daniel Lane William T Ziemba |
| Institution: | 1. School of Management , University of Ottawa , Ottawa, ON, K1N 6N5, Canada;2. Sauder School of Business , University of British Columbia , Vancouver, BC, V6T 1Z2, Canada;3. MIT Sloan School of Management , 50 Memorial Drive, Cambridge, MA, 02142, USA E-mail: ziemba@interchange.ubc.ca |
| Abstract: | This paper presents arbitrage and risk arbitrage betting strategies for Team Jai Alai. This game is the setting for the analysis and most results generalize to other sports betting situations and some financial market applications. The arbitrage conditions are utility free while the risk arbitrage wagers are constructed according to the Kelly criterion/capital growth theory that maximizes asymptotically long-run wealth almost surely. |
| Keywords: | arbitrage risk arbitrage hedging sequential investing |