Chance constrained optimization for parimutuel horse race betting
نویسندگان
چکیده
We consider the time horizon of a gambler in the optimization of horse race betting through the use of chance constrained programming. The optimization problem is formulated as a mixed integer nonlinear program for which global optimal solutions are found using optimization tools. A novel approach to estimating superfecta payouts is presented using maximum likelihood estimation. A computational substantiation with historical race data found an increase in return of over 10% using the chance constrained model.
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