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arXiv · 2002.06804

Optimizing stakes in simultaneous bets

Robbert Fokkink·Ludolf Meester·Christos Pelekis
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Abstract

We want to find the convex combination $S$ of iid Bernoulli random variables that maximizes $\textbf{P}(S\geq t)$ for a given threshold~$t$. Cs\'oka conjectured that such an $S$ is an average if $t\geq p$, where $p$ is the success probability of the Bernoulli random variables. We prove this conjecture for a range of $p$ and $t$.

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Robbert Fokkink, Ludolf Meester, Christos Pelekis. 2020-02-17. Optimizing stakes in simultaneous bets. https://arxiv.org/abs/2002.06804

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