We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies and review their common modifications used in practice. The underlying purpose of the reviewed modifications is to mitigate the additional risk stemming from the unrealistic mathematical assumptions of the formal strategies. We test the resulting methods using a unified evaluation protocol for three sports: horse racing, basketball and soccer. The results show the practical necessity of the additional risk-control methods and demonstrate their individual benefits. Particularly, an adaptive variant of the popular ‘fractional Kelly’ method is a very suitable choice across a wide range of settings.

中文翻译：

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实践中的最佳体育博彩策略：实验回顾

我们基于现代投资组合理论和凯利准则研究了解决体育博彩投资问题的最流行方法。我们定义了问题设置、正式的投资策略并回顾了它们在实践中的常见修改。审查修改的根本目的是减轻因正式策略的不切实际的数学假设而产生的额外风险。我们使用三种运动的统一评估协议测试所得方法：赛马、篮球和足球。结果显示了额外风险控制方法的实际必要性，并证明了它们各自的好处。特别是，流行的“分数凯利”方法的自适应变体是在各种设置中非常合适的选择。