  We investigate the problem of gambling with uncertainty in outcome
probabilities. Stochastic optimization models are proposed for optimal
investing on events with mutually exclusive outcomes when probabilities are
estimated using multinomial logistic regression. Special attention is given to
the case of there being two outcomes, and the general case of many outcomes. An
empirical study using simulated data was conducted where the loss of return
from probability estimation error is observed, and superior returns are
achieved taking it into consideration.
