Optimal sports betting strategies in practice: an experimental review

TL;DR

This paper reviews and tests various sports betting strategies based on portfolio theory and the Kelly criterion, emphasizing the importance of risk control methods and identifying adaptive fractional Kelly as particularly effective.

Contribution

It provides a comprehensive review and experimental evaluation of betting strategies, highlighting the practical benefits of risk mitigation techniques and proposing adaptive fractional Kelly as a robust approach.

Findings

Risk-control methods improve betting strategy performance.

Adaptive fractional Kelly outperforms other strategies across sports.

Practical modifications are essential due to unrealistic assumptions in formal models.

Abstract

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, we show that an adaptive variant of the popular ``fractional Kelly'' method is a very suitable choice across a wide range of settings.