Risk-Constrained Kelly Gambling

Risk-Constrained Kelly Gambling

We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown probability; using this bound instead of the original risk constraint yields a convex optimization problem that guarantees the drawdown risk constraint holds. N...

Comparison of p300 in risk-seeker and risk-averse people during simple gambling task

Risk preference, the degree of tendency to take risk, has a fundamental role at individual and social health and is divided to risk seeker and risk averse. Therefore, the study of neural corelates of risk preferences is essential at the field of psychology and psychiatry. The current study aimed to examine and compare an ERP component named P300 between subjects with different risk preferences....

Youth Gambling and Problem Gambling: Another High Risk Behavior

Prevention paradox logic and problem gambling: Does low-risk gambling impose a greater burden of harm than high-risk gambling?

Background and aims The aim of this paper is to examine the evidence and arguments in favor of prevention paradox (PP) logic in the context of problem gambling. Evidence from recent studies of gambling and the distribution of harm across lower and higher risk gamblers is reviewed to examine the contention that the absolute burden of harm is greater in low-risk (LR) gamblers than the problem gam...

Risk Aversion, Indivisible Timing Options, and Gambling

In this paper we model the behavior of a risk averse agent who seeks to maximize expected utility and who has an indivisible asset and a timing option over when to sell this asset. Our main contribution is to show that, contrary to intuition, optimal behavior for such a risk averse agent can include risk increasing gambles. For example, a manager with a choice over when to disinvest from a proj...