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The generalised Kelly Criterion (a.k.a. The Real Kelly) for mutually exclusive outcomes
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README.md Create README.md Mar 21, 2020
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README.md

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The generalised Kelly Criterion (a.k.a. The Real Kelly) for mutually exclusive outcomes

An implementation of the generalised Kelly Criterion (a.k.a. The Real Kelly) for mutually exclusive outcomes as discussed in this article https://www.pinnacle.com/en/betting-articles/Betting-Strategy/the-real-kelly-criterion/HZKJTFCB3KNYN9CJ

The algorithm will find optimal bet sizes for a set of mutually exclusive outcomes.

This could be a set of futures bets on several different teams (e.g. Liverpool to win the Premier League) or a 3-way betting market (1X2) as explained in example #1 in the article above.

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