.png){kind=icon}
.png){kind=icon}
Return
Optimal bookmaking
.png){kind=icon}
PRE
AI
DOI：10.1016/j.ejor.2021.03.005.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dy-namically control the prices of bets on outcomes of random events. In turn, the prices set by the book-maker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks an optimal price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or charac-terizations to the bookmaker's optimal bookmaking problem in various interesting models. (c) 2021 Elsevier B.V. All rights reserved.
Keywords:
Stochastic programming
Poisson process
Sports betting
Stochastic control
Utility maximization
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
6
Papers:
2.2W
Citations:
6.4W