SIAM Journal on Control and Optimization, Vol.45, No.2, 483-495, 2006
Optimal control of favorable games with expected loss constraint
Using a forward-backward iterative method, we maximize the expected profit of a gambling strategy for an arbitrary finite sequence of independent favorable gambles with payoffs in L-1 under an expected loss constraint. The solution is explicit up to solving a finite sequence of (deterministic) optimization problems over R-+(2).
Keywords:stochastic control;constraint portfolio optimization;gambling theory;favorable games;inequalities for stochastic processes;gain-loss ratio