Optimal bookmaking

作     者：Lorig, Matthew Zhou, Zhou Zou, Bin 

作者机构：Univ Washington Dept Appl Math Seattle WA 98195 USA Univ Sydney Sch Math & Stat Sydney NSW Australia Univ Connecticut Dept Math 341 Mansfield Rd U1009 Storrs CT 06269 USA 

出 版 物：《EUROPEAN JOURNAL OF OPERATIONAL RESEARCH》 (欧洲运筹学杂志)

年 卷 期：2021年第295卷第2期

页      面：560-574页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：University of Connecticut 

主　　题：Stochastic programming Poisson process Sports betting Stochastic control Utility maximization 

摘      要：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.